BLACKSTONE MORTGAGE TRUST, INC. (Form: 10-Q, Received: 04/28/2020 16:21:45)

Large accelerated filer

Accelerated filer

Non-accelerated
filer

Smaller reporting company

Emerging growth company

2023-032023-032023-032023-03the current term of which expires on December 19, 2020, and will be automatically renewed for a one-year term upon such date and each anniversary thereafter unless earlier terminated.P1YManager is entitled to an incentive fee in an amount equal to the product of (i) 20% and (ii) the excess of (a) our Core Earnings (as defined in our Management Agreement) for the previous 12-month period over (b) an amount equal to 7.00% per annum multiplied by our outstanding Equity, provided that our Core Earnings over the prior three-year period is greater than zero. Core Earnings, as defined in our Management Agreement, is generally equal to our net income (loss) prepared in accordance with GAAP, excluding (i) certain non-cash items, (ii) the net income (loss) related to our legacy portfolio, and (iii) incentive management fees.P0M2022-03-012022-07-122023-07-192024-01-072024-05-212024-06-182024-10-222025-09-232029-12-312016 2017 2018 2019false 2020Q10001061630--12-31BLACKSTONE MORTGAGE TRUST, INC.BLACKSTONE MORTGAGE TRUST, INC.The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.During the three months ended March 31, 2020 and 2019, we recorded $7.4 million and $13.5 million, respectively, of interest expense related to our securitized debt obligations.As of both March 31, 2020 and December 31, 2019, all of our loans financed by securitized debt obligations earned a floating rate of interest. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. 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Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM

10-Q

(Mark One)

☒	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2020

☐	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM

Commission File Number:

001-14788

Blackstone Mortgage Trust, Inc.

(Exact name of Registrant as specified in its charter)


Maryland		94-6181186
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

345 Park Avenue, 42nd Floor

New York, New York 10154

(Address of principal executive offices)(Zip Code)

(212)

655-0220

(Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading symbol(s)	Name of each exchange on which registered
Class A common stock, par value $0.01 per share	BXMT	New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes

☒

☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation

S-T

(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes

☒

☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a

non-accelerated

filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule

12b-2

of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule

12b-2

of the Exchange Act). Yes

☐

☒

The number of the registrant’s outstanding shares of class A common stock, par value $0.01 per share, outstanding as of April 21, 2020 was 135,355,966.

Table of Contents

TABLE OF CONTENTS



PART I.	FINANCIAL INFORMATION

ITEM 1.	FINANCIAL STATEMENTS	2

	Consolidated Financial Statements (Unaudited):

	Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019	2

	Consolidated Statements of Operations for the Three Months Ended March 31, 2020 and 2019	3

	Consolidated Statements of Comprehensive Income for the Three Months Ended March 31, 2020 and 2019	4

	Consolidated Statements of Changes in Equity for the Three Months Ended March 31, 2020 and 2019	5

	Consolidated Statements of Cash Flows for the Three Months Ended March 31, 2020 and 2019	6

	Notes to Consolidated Financial Statements	8

ITEM 2.	MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS	45

ITEM 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	68

ITEM 4.	CONTROLS AND PROCEDURES	71

PART II.	OTHER INFORMATION

ITEM 1.	LEGAL PROCEEDINGS	72

ITEM 1A.	RISK FACTORS	72

ITEM 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	75

ITEM 3.	DEFAULTS UPON SENIOR SECURITIES	75

ITEM 4.	MINE SAFETY DISCLOSURES	75

ITEM 5.	OTHER INFORMATION	75

ITEM 6.	EXHIBITS	76

SIGNATURES		78

Table of Contents

PART I. FINANCIAL INFORMATION

ITEM	1. FINANCIAL STATEMENTS

Blackstone Mortgage Trust, Inc.

Consolidated Balance Sheets (Unaudited)

(in thousands, except share data)


	March 31,			December 31,
	2020			2019
Assets
Cash and cash equivalents	$	355,018		$	150,090
Loans receivable		16,363,608			16,164,801
Current expected credit loss reserve		(112,694	)		—
Loans receivable, net		16,250,914			16,164,801
Other assets		152,157			236,980
Total Assets	$	16,758,089		$	16,551,871

Liabilities and Equity
Secured debt agreements, net	$	9,335,709		$	10,054,930
Securitized debt obligations, net		2,239,640			1,187,084
Secured term loan, net		734,695			736,142
Convertible notes, net		613,882			613,071
Other liabilities		159,736			175,963

Total Liabilities		13,083,662			12,767,190


Commitments and contingencies		—			—

Equity
Class A common stock, $0.01 par value, 200,000,000 shares authorized, 135,355,320 and 135,003,662 shares issued and outstanding as of March 31, 2020 and December 31, 2019, respectively		1,354			1,350
Additional paid-in capital		4,378,851			4,370,014
Accumulated other comprehensive income (loss)		18,248			(16,233	)
Accumulated deficit		(747,533	)		(592,548	)

Total Blackstone Mortgage Trust, Inc. stockholders’ equity		3,650,920			3,762,583
Non-controlling interests		23,507			22,098

Total Equity		3,674,427			3,784,681

Total Liabilities and Equity	$	16,758,089		$	16,551,871

Note: The consolidated balance sheets as of March 31, 2020 and December 31, 2019 include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of each respective VIE, and liabilities of consolidated VIEs for which creditors do not have recourse to Blackstone Mortgage Trust, Inc. As of March 31, 2020 and December 31, 2019, assets of the consolidated VIEs totaled $2.7 billion and $1.4 billion, respectively, and liabilities of the consolidated VIEs totaled $2.2 billion and $1.2 billion, respectively. Refer to Note 15 for additional discussion of the VIEs.

See accompanying notes to consolidated financial statements.

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Blackstone Mortgage Trust, Inc.

Consolidated Statements of Operations (Unaudited)

(in thousands, except share and per share data)


	Three Months Ended March 31,
	2020			2019
Income from loans and other investmen t s
Interest and related income	$	204,875		$	224,759
Less: Interest and related expenses		104,239			118,688

Income from loans and other investments, net		100,636			106,071
Other expenses
Management and incentive fees		19,277			19,790
General and administrative expenses		11,791			9,313

Total other expenses		31,068			29,103
Increase in current expected credit loss reserve		(122,702	)		—

(Loss) income before income taxes		(53,134	)		76,968

Income tax provision		149			101

Net (loss) income		(53,283	)		76,867

Net income attributable to non-controlling interests		(67	)		(302	)

Net (loss) income attributable to Blackstone Mortgage Trust, Inc.	$	(53,350	)	$	76,565

Net (loss) income per share of common stock basic and diluted	$	(0.39	)	$	0.62

Weighted-average shares of common stock outstanding, basic and diluted		135,619,264			124,333,048

See accompanying notes to consolidated financial statements.

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Blackstone Mortgage Trust, Inc.

Consolidated Statements of Comprehensive Income (Unaudited)

(in thousands)


	Three Months Ended
	March 31,
	2020			2019
Net (loss) income	$	(53,283	)	$	76,867
Other comprehensive income
Unrealized (loss) gain on foreign currency translation		(69,510	)		5,414
Realized and unrealized gain (loss) on derivative financial instruments		103,991			(1,948	)

Other comprehensive income		34,481			3,466

Comprehensive (loss) income		(18,802	)		80,333
Comprehensive income attributable to non-controlling interests		(67	)		(302	)

Comprehensive (loss) income attributable to Blackstone Mortgage Trust, Inc.	$	(18,869	)	$	80,031

See accompanying notes to consolidated financial statements.

Table of Contents

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Changes in Equity (Unaudited)

(in thousands)


	Blackstone Mortgage Trust, Inc.
	Class A		Additional		Accumulated Other
	Common		Paid-In		Comprehensive			Accumulated			Stockholders’			Non-controlling			Total
	Stock		Capital		(Loss) Income			Deficit			Equity			Interests			Equity
Balance at December 31, 2018	$	1,234	$	3,966,540	$	(34,222	)	$	(569,428	)	$	3,364,124		$	10,483		$	3,374,607
Shares of class A common stock issued, net		23		65,358		—			—			65,381			—			65,381
Restricted class A common stock earned		—		7,639		—			—			7,639			—			7,639
Dividends reinvested		—		143		—			(132	)		11			—			11
Deferred directors’ compensation		—		125		—			—			125			—			125
Other comprehensive income		—		—		3,466			—			3,466			—			3,466
Net income		—		—		—			76,565			76,565			302			76,867
Dividends declared on common stock, $0.62 per share		—		—		—			(77,913	)		(77,913	)		—			(77,913	)
Contributions from non-controlling interests		—		—		—			—			—			1,470			1,470
Distributions to non-controlling interests		—		—		—			—			—			(64	)		(64	)

Balance at March 31, 2019	$	1,257	$	4,039,805	$	(30,756	)	$	(570,908	)	$	3,439,398		$	12,191		$	3,451,589

Balance at December 31, 2019	$	1,350	$	4,370,014	$	(16,233	)	$	(592,548	)	$	3,762,583		$	22,098		$	3,784,681
Adoption of ASU 2016-13, see Note 2		—		—		—			(17,565	)		(17,565	)		(85	)		(17,650	)
Shares of class A common stock issued, net		4		—		—			—			4			—			4
Restricted class A common stock earned		—		8,550		—			—			8,550			—			8,550
Dividends reinvested		—		162		—			(150	)		12			—			12
Deferred directors’ compensation		—		125		—			—			125			—			125
Other comprehensive income		—		—		34,481			—			34,481			—			34,481
Net (loss) income		—		—		—			(53,350	)		(53,350	)		67			(53,283	)
Dividends declared on common stock, $0.62 per share		—		—		—			(83,920	)		(83,920	)		—			(83,920	)
Contributions from non-controlling interests		—		—		—			—			—			8,108			8,108
Distributions to non-controlling interests		—		—		—			—			—			(6,681	)		(6,681	)

Balance at March 31, 2020	$	1,354	$	4,378,851	$	18,248		$	(747,533	)	$	3,650,920		$	23,507		$	3,674,427

See accompanying notes to consolidated financial statements.

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Blackstone Mortgage Trust, Inc.

Consolidated Statements of Cash Flows (Unaudited)

(in thousands)


	Three Months Ended March 31,
	2020			2019
Cash flows from operating activities
Net (loss) income	$	(53,283	)	$	76,867
Adjustments to reconcile net (loss) income to net cash provided by operating activities
Non-cash compensation expense		8,678			7,768
Amortization of deferred fees on loans and debt securities		(14,399	)		(13,356	)
Amortization of deferred financing costs and premiums/ discount on debt obligations		9,704			7,265
Increase in current expected credit loss reserve		122,702			—
Changes in assets and liabilities, net
Other assets		(7,432	)		(4,780	)
Other liabilities		2,647			3,808

Net cash provided by operating activities		68,617			77,572

Cash flows from investing activities
Origination and fundings of loans receivable		(971,322	)		(799,326	)
Principal collections and sales proceeds from loans receivable and debt securities		620,994			463,483
Origination and exit fees received on loans receivable		8,610			5,501
Receipts under derivative financial instruments		85,432			2,956
Payments under derivative financial instruments		(23,780	)		(970	)
Collateral deposited under derivative agreements		(102,140	)		(9,090	)
Return of collateral deposited under derivative agreements		132,940			4,000

Net cash used in investing activities		(249,266	)		(333,446	)

continued…

See accompanying notes to consolidated financial statements.

Table of Contents

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Cash Flows (Unaudited)

(in thousands)


	Three Months Ended March 31,
	2020			2019
Cash flows from financing activities
Borrowings under secured debt agreements	$	986,342		$	721,571
Repayments under secured debt agreements		(1,555,997	)		(483,748	)
Proceeds from issuance of collateralized loan obligations		1,243,125			—
Repayment of collateralized loan obligations		(179,759	)		—
Proceeds from sale of loan participations		—			12,802
Repayments of secured term loan		(1,872	)		—
Payment of deferred financing costs		(20,487	)		(11,200	)
Contributions from non-controlling interests		8,108			1,470
Distributions to non-controlling interests		(6,681	)		(64	)
Net proceeds from issuance of class A common stock		—			65,377
Dividends paid on class A common stock		(83,702	)		(76,530	)

Net cash provided by financing activities		389,077			229,678

Net increase (decrease) in cash, cash equivalents, and restricted cash		208,428			(26,196	)
Cash and cash equivalents at beginning of p eriod		150,090			105,662
Effects of currency translation on cash and cash equivalents		(3,500	)		(29	)

Cash and cash equivalents at end of per iod	$	355,018		$	79,437

Supplemental disclosure of cash flows information
Payments of interest	$	(91,341	)	$	(107,971	)

Payments of income taxes	$	(122	)	$	(74	)

Supplemental disclosure of non-cash investing and financing activities
Dividends declared, not paid	$	(83,920	)	$	(77,913	)

Loan principal payments held by servicer, net	$	656		$	37,285

See accompanying notes to consolidated financial statements.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements

(Unaudited)

1. ORGANIZATION

References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us” or “our” refer to Blackstone Mortgage Trust, Inc. and its subsidiaries unless the context specifically requires otherwise.

Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate in North America, Europe, and Australia. Our portfolio is composed of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including our credit facilities, issuing CLOs or single-asset securitizations, and syndications of senior loan participations, depending on our view of the most prudent financing option available for each of our investments. We are not in the business of buying or trading securities, and the only securities we own are the retained interests from our securitization financing transactions, which we have not financed.

We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of The Blackstone Group Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.” Our principal executive offices are located at 345 Park Avenue, 42nd Floor, New York, New York 10154. We were incorporated in Maryland in 1998, when we reorganized from a California common law business trust into a Maryland corporation.

We conduct our operations as a REIT for U.S. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, for interim financial information and the instructions to Form

10-Q

and Rule

10-01

of Regulation

S-X.

The consolidated financial statements, including the notes thereto, are unaudited and exclude some of the disclosures required in audited financial statements. We believe we have made all necessary adjustments, consisting of only normal recurring items, so that the consolidated financial statements are presented fairly and that estimates made in preparing our consolidated financial statements are reasonable and prudent. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. The accompanying unaudited consolidated interim financial statements should be read in conjunction with the audited consolidated financial statements included in our Annual Report on Form

10-K

for the fiscal year ended December 31, 2019 filed with the Securities and Exchange Commission, or the SEC.

Basis of Presentation

The accompanying consolidated financial statements include, on a consolidated basis, our accounts, the accounts of our wholly-owned subsidiaries, majority-owned subsidiaries, and variable interest entities, or VIEs, of which we are the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation.

Principles of Consolidation

We consolidate all entities that we control through either majority ownership or voting rights. In addition, we consolidate all VIEs of which we are considered the primary beneficiary. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE.

In the third quarter of 2018, we contributed a loan to a single asset securitization vehicle, or the 2018 Single Asset Securitization, which is a VIE, and invested in the related subordinate risk retention position. We are not the primary beneficiary of the VIE because we do not have the power to direct the activities that most significantly affect the VIE’s economic performance and, therefore, do not consolidate the 2018 Single Asset Securitization on our balance sheet. We have classified the subordinate risk retention position as a

held-to-maturity

debt security that is included in other assets on our consolidated balance sheets. Refer to Note 15 for additional discussion of our VIEs.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

In April 2017, we entered into a joint venture, or our Multifamily Joint Venture, with Walker & Dunlop Inc. to originate, hold, and finance multifamily bridge loans. Pursuant to the terms of the agreements governing the joint venture, Walker & Dunlop contributed 15% of the venture’s equity capital and we contributed 85%. We consolidate the Multifamily Joint Venture as we have a controlling financial interest. The

non-controlling

interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are owned by Walker & Dunlop. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these

non-controlling

interests based on Walker & Dunlop’s pro rata ownership of our Multifamily Joint Venture.

Use of Estimates

The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or

COVID-19,

which has spread to over 200 countries and territories, including the United States, and has spread to every state in the United States. The World Health Organization has designated

COVID-19

as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to

COVID-19.

The global impact of the outbreak has been rapidly evolving, and as cases of

COVID-19

have continued to be identified in additional countries, many countries have reacted by instituting quarantines and restrictions on travel, closing financial markets and/or restricting trading and operations of

non-essential

offices and retail centers. Such actions are creating disruption in global supply chains, and adversely impacting many industries. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown. The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of

COVID-19

on economic and market conditions. We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of March 31, 2020, however uncertainty over the ultimate impact

COVID-19

will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of March 31, 2020 inherently less certain than they would be absent the current and potential impacts of

COVID-19.

Actual results may ultimately differ from those estimates.

Revenue Recognition

Interest income from our loans receivable portfolio and debt securities is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan or debt security as an adjustment to yield. Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of our Manager, recovery of income and principal becomes doubtful. Income is then recorded on the basis of cash received until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. In addition, for loans we originate, the related origination expenses are deferred and recognized as a component of interest income, however expenses related to loans we acquire are included in general and administrative expenses as incurred.

Cash and Cash Equivalents

Cash and cash equivalents represent cash held in banks and liquid investments with original maturities of three months or less. We may have bank balances in excess of federally insured amounts; however, we deposit our cash and cash equivalents with high credit-quality institutions to minimize credit risk exposure. We have not experienced, and do not expect, any losses on our cash or cash equivalents. As of both March 31, 2020 and December 31, 2019, we had no restricted cash on our consolidated balance sheets.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

Through our subsidiaries, we have oversight of certain servicing accounts held with third-party servicers, or Servicing Accounts, which relate to borrower escrows and other cash balances aggregating $459.1 million and $450.8 million as of March 31, 2020 and December 31, 2019, respectively. This cash is maintained in segregated bank accounts, and these amounts are not included in the assets and liabilities presented in our consolidated balance sheets. Cash in these Servicing Accounts will be transferred by the respective third-party servicer to the borrower or us under the terms of the applicable loan agreement upon occurrence of certain future events. We do not generate any revenue or incur any expenses as a result of these Servicing Accounts.

Loans Receivable and Provision for Loan Losses

We originate and purchase commercial real estate debt and related instruments generally to be held as long-term investments at amortized cost. We are required to periodically evaluate each of these loans for possible impairment. Impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. If a loan is determined to be impaired, we write down the loan through a charge to the provision for loan losses. Impairment of these loans, which are collateral dependent, is measured by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed necessary by our Manager. Actual losses, if any, could ultimately differ from these estimates.

Debt Securities

Held-to-Maturity

We classify our debt securities as

held-to-maturity,

as we have the intent and ability to hold these securities until maturity. We include our debt securities in other assets on our consolidated balance sheets at amortized cost.

Current Expected Credit Losses Reserve

The current expected credit loss, or CECL, reserve required under

Accounting Standard Update, or ASU

2016-13

“Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic

326)

,” or ASU

2016-13,

reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets. The initial CECL reserve recorded on January

2020

is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations. While ASU

2016-13

does not require any particular method for determining the CECL reserve, it does specify the reserve should be based on relevant information about past events, including historical loss experience, current portfolio and market conditions, and reasonable and supportable forecasts for the duration of each respective loan. In addition, other than a few narrow exceptions, ASU

2016-13

requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

We estimate our CECL reserve primarily using the Weighted Average Remaining Maturity, or WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board Staff Q&A Topic 326, No. 1. The WARM method requires us to reference historic loan loss data across a comparable data set and apply such loss rate to each of our loans over their expected remaining term, taking into consideration expected economic conditions over the relevant timeframe. We apply the WARM method for the majority of our loan portfolio, which loans share similar risk characteristics. In certain instances, for loans with unique risk characteristics, we may instead use a probability-weighted model that considers the likelihood of default and expected loss given default for each such individual loan.

Application of the WARM method to estimate a CECL reserve requires judgment, including (i) the appropriate historical loan loss reference data, (ii) the expected timing and amount of future loan fundings and repayments, and (iii) the current credit quality of our portfolio and our expectations of performance and market conditions over the relevant time period. To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance, which includes zero loan losses since the launch of our senior loan origination business in 2013, with market loan loss data licensed from Trepp LLC. This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through February 29, 2020. Within

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and

loan-to-value,

or LTV. We believe this CMBS data, which includes month-over-month loan and property performance, is the most relevant, available, and comparable dataset to our portfolio.

Our loans typically include commitments to fund incremental proceeds to our borrowers over the life of the loan, which future funding commitments are also subject to the CECL model. The CECL reserve related to future loan fundings is recorded as a component of Other Liabilities on our consolidated balance sheets. This CECL reserve is estimated using the same process outlined above for our outstanding loan balances, and changes in this component of the CECL reserve will similarly impact our consolidated net income. For both the funded and unfunded portions of our loans, we consider our internal risk rating of each loan as the primary credit quality indicator underlying our assessment.

The CECL reserve is measured on a collective basis wherever similar risk characteristics exist within a pool of similar assets. We have identified the following pools and measure the reserve for credit losses using the following methods:


•		U . S . Loans : WARM method that incorporates a subset of historical loss data, expected weighted-average remaining maturity of our loan pool, and an economic view.

•		Non-U . S . Loans : WARM method that incorporates a subset of historical loss data, expected weighted average remaining maturity of our loan pool, and an economic view.

•		Unique Loans : a probability of default and loss given default model, assessed on an individual basis.

•		Impaired Loans : incurred loss model assessed on an individual basis, as further described above. These loans do not incur CECL reserves.

We adopted ASU

2016-13

using the modified-retrospective method for all financial assets measured at amortized cost. Prior to our adoption, we had no loan loss provisions on our consolidated balance sheets. We recorded a cumulative-effective adjustment to the opening retained earnings in our consolidated statement of equity as of January 1, 2020

. The following table details the impact of this adoption ($ in thousands):


	Impact of ASU 2016-13 Adoption
Assets:
Loans
U . S . Loans	$	8,955
Non-U . S . Loans		3,631
Unique Loans		1,356

CECL reserve on loans	$	13,942

CECL reserve on held-to-maturity debt securities		445
Liabilities:
CECL reserve on unfunded loan commitments		3,263

Total impact of ASU 2016-13 adoption on retained earnings	$	17,650

Contractual Term and Unfunded Loan Commitments

Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments. As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purpose

of computing our CECL reserve.

Additionally, the expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. The CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan. The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loan receivables.

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Notes to Consolidated Financial Statements (continued)

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Credit Quality Indicator

Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve. Our Manager performs a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. Based on a

5-point

scale, our loans are rated “l” through “5,” from less risk to greater risk, relative to our loan portfolio in the aggregate, which ratings are defined as follows:


		1 -		Very Low Risk

		2 -		Low Risk

		3 -		Medium Risk

		4 -		High Risk/Potential for Loss: A loan that has a risk of realizing a principal loss.

		5 -		Impaired/Loss Likely: A loan that has a very high risk of realizing a principal loss or has otherwise incurred a principal loss.

Estimation of Economic Conditions

In addition to the WARM method computations and probability-weighted models described above, our CECL reserve is also adjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans. These estimations include unemployment rates, interest rates, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance. These estimations require significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of March 31, 2020.

Derivative Financial Instruments

We classify all derivative financial instruments as either other assets or other liabilities on our consolidated balance sheets at fair value.

On the date we enter into a derivative contract, we designate each contract as (i) a hedge of a net investment in a foreign operation, or net investment hedge, (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability, or cash flow hedge, (iii) a hedge of a recognized asset or liability, or fair value hedge, or (iv) a derivative instrument not to be designated as a hedging derivative, or

non-designated

hedge. For all derivatives other than those designated as

non-designated

hedges, we formally document our hedge relationships and designation at the contract’s inception. This documentation includes the identification of the hedging instruments and the hedged items, its risk management objectives, strategy for undertaking the hedge transaction and our evaluation of the effectiveness of its hedged transaction.

On a quarterly basis, we also formally assess whether the derivative we designated in each hedging relationship is expected to be, and has been, highly effective in offsetting changes in the value or cash flows of the hedged items. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued and the changes in fair value of the instrument are included in net income prospectively. Changes in the fair value of our derivative instruments that qualify as hedges are reported as a component of accumulated other comprehensive income (loss) on our consolidated financial statements. Deferred gains and losses are reclassified out of accumulated other comprehensive income (loss) and into net income in the same period or periods during which the hedged transaction affects earnings, and are presented in the same line item as the earnings effect of the hedged item. For cash flow hedges, this is typically when the periodic swap settlements are made, while for net investment hedges, this occurs when the hedged item is sold or substantially liquidated. To the extent a derivative does not qualify for hedge accounting and is deemed a

non-designated

hedge, the changes in its fair value are included in net income concurrently.

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Secured Debt Agreements

Where applicable, we record investments financed with secured debt agreements as separate assets and the related borrowings under any secured debt agreements are recorded as separate liabilities on our consolidated balance sheets. Interest income earned on the investments and interest expense incurred on the secured debt agreements are reported separately on our consolidated statements of operations.

Senior Loan Participations

In certain instances, we finance our loans through the

non-recourse

syndication of a senior loan interest to a third-party. Depending on the particular structure of the syndication, the senior loan interest may remain on our GAAP balance sheet or, in other cases, the sale will be recognized and the senior loan interest will no longer be included in our consolidated financial statements. When these sales are not recognized under GAAP we reflect the transaction by recording a loan participations sold liability on our consolidated balance sheet, however this gross presentation does not impact stockholders’ equity or net income. When the sales are recognized, our balance sheet only includes our remaining subordinate loan and not the

non-consolidated

senior interest we sold.

Secured Term Loan

We record our secured term loans as liabilities on our consolidated balance sheets. Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the secured term loan as additional

non-cash

interest expense.

Convertible Notes

The “Debt with Conversion and Other Options” Topic of the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, requires the liability and equity components of convertible debt instruments that may be settled in cash upon conversion, including partial cash settlement, to be separately accounted for in a manner that reflects the issuer’s nonconvertible debt borrowing rate. The initial proceeds from the sale of convertible notes are allocated between a liability component and an equity component in a manner that reflects interest expense at the rate of similar nonconvertible debt that could have been issued at such time. The equity component represents the excess initial proceeds received over the fair value of the liability component of the notes as of the date of issuance. We measured the estimated fair value of the debt component of our convertible notes as of the respective issuance dates based on our nonconvertible debt borrowing rate. The equity component of each series of our convertible notes is reflected within additional

paid-in

capital on our consolidated balance sheet, and the resulting issue discount is amortized over the period during which such convertible notes are expected to be outstanding (through the maturity date) as additional

non-cash

interest expense. The additional

non-cash

interest expense attributable to such convertible notes will increase in subsequent periods through the maturity date as the notes accrete to their par value over the same period.

Deferred Financing Costs

The deferred financing costs that are included as a reduction in the net book value of the related liability on our consolidated balance sheets include issuance and other costs related to our debt obligations. These costs are amortized as interest expense using the effective interest method over the life of the related obligations.

Fair Value of Financial Instruments

The “Fair Value Measurements and Disclosures” Topic of the FASB, or ASC 820, defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under GAAP. Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date.

ASC 820 also establishes a fair value hierarchy that prioritizes and ranks the level of market price observability used in measuring financial instruments. Market price observability is affected by a number of factors, including the type of financial instrument, the characteristics specific to the financial instrument, and the state of the marketplace, including the existence and transparency of transactions between market participants. Financial instruments with readily available quoted prices in active markets generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

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(Unaudited)

Financial instruments measured and reported at fair value are classified and disclosed based on the observability of inputs used in the determination, as follows:


•		Level 1: Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date.

•		Level 2: Pricing inputs include quoted prices in active markets for similar instruments, quoted prices in less active or inactive markets for identical or similar instruments where multiple price quotes can be obtained, and other observable inputs, such as interest rates, yield curves, credit risks, and default rates.

•		Level 3: Pricing inputs are unobservable for the financial instruments and include situations where there is little, if any, market activity for the financial instrument. These inputs require significant judgment or estimation by management of third-parties when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2.

The estimated value of each asset reported at fair value using Level 3 inputs is determined by an internal committee composed of members of senior management of our Manager, including our Chief Executive Officer, Chief Financial Officer, and other senior officers.

Certain of our other assets are reported at fair value either (i) on a recurring basis, as of each

quarter-end,

or (ii) on a nonrecurring basis, as a result of impairment or other events. Our assets that are recorded at fair value are discussed further in Note 14. We generally value our assets recorded at fair value by either (i) discounting expected cash flows based on assumptions regarding the collection of principal and interest and estimated market rates, or (ii) obtaining assessments from third-party dealers. For collateral-dependent loans that are identified as impaired, we measure impairment by comparing our Manager’s estimation of the fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations may require significant judgments, which include assumptions regarding capitalization rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed necessary by our Manager.

We are also required by GAAP to disclose fair value information about financial instruments, which are not otherwise reported at fair value in our consolidated balance sheet, to the extent it is practicable to estimate a fair value for those instruments. These disclosure requirements exclude certain financial instruments and all

non-financial

instruments.

The following methods and assumptions are used to estimate the fair value of each class of financial instruments, for which it is practicable to estimate that value:


•		Cash and cash equivalents: The carrying amount of cash and cash equivalents approximates fair value.

•		Loans receivable, net: The fair values of these loans were estimated by our Manager based on a discounted cash flow methodology, taking into consideration various factors including capitalization rates, discount rates, leasing, occupancy rates, availability and cost of financing, exit plan, sponsorship, actions of other lenders, and indications of market value from other market participants.

•		Debt securities held-to-maturity: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price.

•		Derivative financial instruments: The fair value of our foreign currency and interest rate contracts was estimated using advice from a third-party derivative specialist, based on contractual cash flows and observable inputs comprising foreign currency rates and credit spreads.

•		Secured debt agreements, net: The fair value of these instruments was estimated based on the rate at which a similar credit facility would currently be priced.

•		Securitized debt obligations, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price.

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Notes to Consolidated Financial Statements (continued)

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•		Secured term loan, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price.

•		Convertible notes, net: Each series of the convertible notes is actively traded and their fair values were obtained using quoted market prices.

Income Taxes

Our financial results generally do not reflect provisions for current or deferred income taxes on our REIT taxable income. We believe that we operate in a manner that will continue to allow us to be taxed as a REIT and, as a result, we generally do not expect to pay substantial corporate level taxes other than those payable by our taxable REIT subsidiaries. If we were to fail to meet these requirements, we may be subject to federal, state, and local income tax on current and past income, and penalties. Refer to Note 12 for additional information.

Stock-Based Compensation

Our stock-based compensation consists of awards issued to our Manager and certain individuals employed by an affiliate of our Manager that vest over the life of the awards, as well as deferred stock units issued to certain members of our board of directors. Stock-based compensation expense is recognized for these awards in net income on a variable basis over the applicable vesting period of the awards, based on the value of our class A common stock. Refer to Note 13 for additional information.

Earnings per Share

Basic earnings per share, or Basic EPS, is computed in accordance with the

two-class

method and is based on the net earnings allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by the weighted-average number of shares of our class A common stock, including restricted class A common stock and deferred stock units outstanding during the period. Our restricted class A common stock is considered a participating security, as defined by GAAP, and has been included in our Basic EPS under the

two-class

method as these restricted shares have the same rights as our other shares of class A common stock, including participating in any gains or losses.

Diluted earnings per share, or Diluted EPS, is determined using the treasury stock method, and is based on the net earnings allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by the weighted-average number of shares of our class A common stock, including restricted class A common stock and deferred stock units. Refer to Note 10 for additional discussion of earnings per share.

Foreign Currency

In the normal course of business, we enter into transactions not denominated in United States, or U.S., dollars. Foreign exchange gains and losses arising on such transactions are recorded as a gain or loss in our consolidated statements of operations. In addition, we consolidate entities that have a

non-U.S.

dollar functional currency.

Non-U.S.

dollar denominated assets and liabilities are translated to U.S. dollars at the exchange rate prevailing at the reporting date and income, expenses, gains, and losses are translated at the average exchange rate over the applicable period. Cumulative translation adjustments arising from the translation of

non-U.S.

dollar denominated subsidiaries are recorded in other comprehensive income (loss).

Underwriting Commissions and Offering

Costs

Underwriting commissions and offering costs incurred in connection with common stock offerings are reflected as a reduction of additional

paid-in

capital. Costs incurred that are not directly associated with the completion of a common stock offering are expensed when incurred.

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Recent Accounting Pronouncements

In June 2016, the FASB issued ASU

2016-13

“Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326),” or ASU

2016-13.

ASU

2016-13

significantly changes how entities measure credit losses for most financial assets and certain other instruments that are not measured at fair value through net income. ASU

2016-13

replaced the incurred loss model under previous guidance with a CECL model for instruments measured at amortized cost, and requires entities to record reserves for

available-for-sale

debt securities rather than reduce the carrying amount, as they did previously under the other-than-temporary impairment model. It also simplified the accounting model for purchased credit-impaired debt securities and loans. We adopted ASU

2016-13

on January 1, 2020, and recorded a $17.7 million cumulative-effect adjustment to retained earnings.

In March 2020, the FASB issued ASU

2020-04

“Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting,” or ASU

2020-04.

ASU

2020-04

provides optional expedients and exceptions to GAAP requirements for modifications on debt instruments, leases, derivatives, and other contracts, related to the expected market transition from LIBOR, and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU

2020-04

generally considers contract modifications related to reference rate reform to be an event that does not require contract remeasurement at the modification date nor a reassessment of a previous accounting determination. The guidance in ASU

2020-04

is optional and may be elected over time, through December 31, 2022, as reference rate reform activities occur. Once ASU

2020-04

is elected, the guidance must be applied prospectively for all eligible contract modifications. In the first quarter of 2020, we have elected to apply the hedge accounting expedients, related to probability and the assessments of effectiveness, for future IBOR-indexed cash flows, to assume that the index upon which future hedged transactions will be based matches the index on the corresponding derivatives. Application of these expedients preserves the presentation of derivatives consistent with our past presentation. We continue to evaluate the impact of ASU

2020-04

and may apply other elections, as applicable, as the expected market transition from IBORs to alternative reference rates continues to develop.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

3. LOANS RECEIVABLE, NET

The following table details overall statistics for our loans receivable portfolio ($ in thousands):


	March 31, 2020			December 31, 2019
Number of loans		132			128
Principal balance	$	16,468,767		$	16,277,343
Net book value	$	16,250,914		$	16,164,801
Unfunded loan commitments (1)	$	3,905,323		$	3,911,868
Weighted-average cash coupon (2)		L + 3.16	%		L + 3.20	%
Weighted-average all-in yield (2)		L + 3.51	%		L + 3.55	%
Weighted-average maximum maturity (years) (3)		3.7			3.8


(1)		Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date.
(2)		The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2020, 99% of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $11.1 billion of such loans earned interest based on floors that are above the applicable index. The other 1% of our loans earned a fixed rate of interest. We reflect our fixed rate loans as a spread over the relevant floating benchmark rates, as of March 31, 2020 and December 31, 2019, respectively, for purposes of the weighted-averages. As of December 31, 2019, 99% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $6.1 billion of such loans earned interest based on floors that are above the applicable index. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.


(3)		Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of March 31, 2020, 57% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 43% were open to repayment by the borrower without penalty. As of December 31, 2019, 61% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 39% were open to repayment by the borrower without penalty.

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Activity relating to our loans receivable portfolio was as follows ($ in thousands):


	Principal Balance			Deferred Fees / Other Items (1)			Net Book Value
Loans Receivable, as of December 31, 2019	$	16,277,343		$	(112,542	)	$	16,164,801
Loan fundings		971,322			—			971,322
Loan repayments		(567,352	)		—			(567,352	)
Unrealized (loss) gain on foreign currency translation		(212,546	)		1,728			(210,818	)
Deferred fees and other items		—			(8,610	)		(8,610	)
Amortization of fees and other items		—			14,265			14,265

Loans Receivable, as of March 31, 2020	$	16,468,767		$	(105,159	)	$	16,363,608


CECL reserve								(112,694	)

Loans Receivable, net, as of March 31, 2020							$	16,250,914


(1)		Other items primarily consist of purchase discounts or premiums, exit fees, and deferred origination expenses.

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The tables below detail the property type and geographic distribution of the properties securing the loans in our portfolio ($ in thousands):


March 31, 2020
Property Type	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
Office		60	$	9,481,796		$	9,814,730		57%
Hospitality		14		2,194,116			2,271,536		13
Multifamily		39		1,957,101			2,010,565		12
Industrial		7		826,694			832,082		5
Retail		4		520,279			529,997		3
Self-Storage		2		285,471			285,788		2
Condominium		2		228,912			230,466		1
Other		4		869,239			1,185,871		7

Total loans receivable		132	$	16,363,608		$	17,161,035		100%

CECL reserve				(112,694	)

Loans receivable, net			$	16,250,914


Geographic Location	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
United States
Northeast		27	$	4,222,778		$	4,249,684		25%
West		28		2,853,616			3,188,319		19
Southeast		26		2,481,003			2,493,980		15
Midwest		9		1,014,714			1,019,402		6
Southwest		12		648,949			651,714		4
Northwest		3		53,124			53,187		—

Subtotal		105		11,274,184			11,656,286		69
International
United Kingdom		13		1,631,711			1,971,765		11
Ireland		1		1,298,062			1,309,049		8
Spain		2		1,182,830			1,188,897		7
Australia		3		319,160			320,514		2
Germany		1		195,109			247,447		1
Italy		1		178,606			180,582		1
Netherlands		1		94,791			95,965		1
Belgium		1		85,551			85,786		—
Canada		3		72,103			72,313		—
France		1		31,501			32,431		—

Subtotal		27		5,089,424			5,504,749		31

Total loans receivable		132	$	16,363,608		$	17,161,035		100%

CECL reserve				(112,694	)

Loans receivable, net			$	16,250,914


(1)		In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million of such non-consolidated senior interests as of March 31, 2020.
(2)		Excludes investment exposure to the $880.7 million 2018 Single Asset Securitization. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)


December 31, 2019
Property Type	Number of Loans		Net Book Value		Total Loan Exposure (1)(2)		Percentage of Portfolio
Office		63	$	9,946,055	$	10,266,567		61%
Hospitality		14		2,199,220		2,281,718		13
Multifamily		36		1,596,333		1,642,664		10
Industrial		5		603,917		607,423		4
Retail		3		373,045		381,040		2
Self-Storage		2		291,994		292,496		2
Condominium		1		232,778		234,260		1
Other		4		921,459		1,259,696		7

		128	$	16,164,801	$	16,965,864		100%


Geographic Location	Number of Loans		Net Book Value		Total Loan Exposure (1)(2)		Percentage of Portfolio
United States
Northeast		25	$	3,789,477	$	3,815,580		22%
West		30		3,143,323		3,451,914		20
Southeast		23		2,321,444		2,334,852		14
Midwest		10		1,174,581		1,180,240		7
Southwest		11		464,989		467,532		3
Northwest		3		52,891		52,989		—

Subtotal		102		10,946,705		11,303,107		66
International
United Kingdom		13		1,738,536		2,102,501		12
Ireland		1		1,318,196		1,330,647		8
Spain		2		1,231,061		1,237,809		7
Australia		3		360,047		361,763		2
Germany		1		195,081		251,020		1
Italy		1		178,740		180,897		1
Belgium		1		86,807		87,201		1
Canada		3		77,656		77,953		1
France		1		31,972		32,966		1

Subtotal		26		5,218,096		5,662,757		34

Total		128	$	16,164,801	$	16,965,864		100%


(1)		In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $688.5 million of such non-consolidated senior interests as of December 31, 2019.
(2)		Excludes investment exposure to the $930.0 million 2018 Single Asset Securitization. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

Loan Risk Ratings

As further described in Note 2, our Manager evaluates our loan portfolio on a quarterly basis. In conjunction with our quarterly loan portfolio review, our Manager assesses the risk factors of each loan, and assigns a risk rating based on several factors. Factors considered in the assessment include, but are not limited to, risk of loss, current LTV, debt yield, collateral performance, structure, exit plan, and sponsorship. Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

The following table allocates the principal balance and net book value of our loans receivable based on our internal risk ratings ($ in thousands):


	March 31, 2020							December 31, 2019
Risk Rating	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Number of Loans		Net Book Value		Total Loan Exposure (1)(2)
1		5	$	353,112		$	354,879		6	$	376,379	$	378,427
2		26		3,095,443			3,115,300		30		3,481,123		3,504,972
3		85		9,659,154			10,416,291		89		12,137,963		12,912,722
4		16		3,255,899			3,274,565		3		169,336		169,743
5		—		—			—		—		—		—

Total loans receivable		132	$	16,363,608		$	17,161,035		128	$	16,164,801	$	16,965,864

CECL reserve				(112,694	)						—

Loans receivable, net			$	16,250,914						$	16,164,801



	(1)			In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million and $688.5 million of such non-consolidated senior interests as of March 31, 2020 and December 31, 2019, respectively.
	(2)			Excludes investment exposure to the 2018 Single Asset Securitization of $880.7 million and $930.0 million as of March 31, 2020 and December 31, 2019, respectively. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of March 31, 2020 and December 31, 2019, respectively.

The increase

in the risk rating was primarily the result of $

3.1

billion aggregate principal amount of loans that were downgraded to a risk rating of “4” to reflect the higher risk in loans collateralized by hospitality and select other asset classes that are particularly negatively impacted by the

COVID-19

pandemic.

During the three months ended March 31, 2020, we entered into a loan modification, which is classified as a troubled debt restructuring under GAAP, for one of our loans with a net book value of

$52.8

million. This modification includes, among other changes, an additional borrower contribution of capital, a reduction in loan spread, and an extension of the maturity date to November 9, 2020. As of March 31, 2020, we had no commitments to lend additional funds to the borrower, the borrower was current with all terms of the loan, and we expect to collect all contractual amounts due thereunder.

We did not have any impaired loans, nonaccrual loans, or loans in maturity default as of March 31, 2020 or December 31, 2019.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

Current Expected Credit Loss Reserve

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three months ended March 31, 2020 ($ in thousands):


	U.S. Loans		Non-U.S. Loans		Unique Loans		Total
Loans Receivable, Net
CECL reserve as of December 31, 2019	$	—	$	—	$	—	$	—
Initial CECL reserve on January 1, 2020		8,955		3,631		1,356		13,942
Increase in CECL reserve		55,906		18,194		24,652		98,752

CECL reserve as of March 31, 2020	$	64,861	$	21,825	$	26,008	$	112,694

Our initial CECL reserve against our loans receivable portfolio of $13.9 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2020, we recorded a $98.8 million increase in expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $112.7 million as of March 31, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio. See Note 2 for further discussion of

COVID-19.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

Our primary credit quality indicator is our risk ratings, which are

further discussed above.

The following table presents the net book value of our loan portfolio as of March 31, 2020 by year of origination, investment pool, and risk rating ($ in thousands):


	Net Book Value of Loans Receivable by Year of Origination (1)(2)
	As of March 31, 2020
	2020		2019		2018		2017		2016		Prior		Total
U.S. loans
1	$	—	$	195,684	$	—	$	43,964	$	24,001	$	—	$	263,649
2		—		93,895		1,879,598		732,338		79,668		224,393		3,009,892
3		591,842		2,352,919		1,668,359		1,224,994		227,892		228,405		6,294,411
4		65,806		174,541		1,311,942		63,173		110,089		52,784		1,778,335
5		—		—		—		—		—		—		—

Total U.S. loans	$	657,648	$	2,817,039	$	4,859,899	$	2,064,469	$	441,650	$	505,582	$	11,346,287

Non-U.S. loans
1	$	—	$	—	$	89,463	$	—	$	—	$	—	$	89,463
2		—		—		—		85,551		—		—		85,551
3		94,791		2,386,534		403,821		—		104,431		—		2,989,577
4		—		224,225		—		—		—		—		224,225
5		—		—		—		—		—		—		—

Total Non-U.S. loans	$	94,791	$	2,610,759	$	493,284	$	85,551	$	104,431	$	—	$	3,388,816

Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		291,681		—		—		83,485		375,166
4		—		294,734		958,605		—		—		—		1,253,339
5		—		—		—		—		—		—		—

Total unique loans	$	—	$	294,734	$	1,250,286	$	—	$	—	$	83,485	$	1,628,505

Total loans receivable
1	$	—	$	195,684	$	89,463	$	43,964	$	24,001	$	—	$	353,112
2		—		93,895		1,879,598		817,889		79,668		224,393		3,095,443
3		686,633		4,739,453		2,363,861		1,224,994		332,323		311,890		9,659,154
4		65,806		693,500		2,270,547		63,173		110,089		52,784		3,255,899
5		—		—		—		—		—		—		—

Total loans receivable	$	752,439	$	5,722,532	$	6,603,469	$	2,150,020	$	546,081	$	589,067	$	16,363,608

CECL reserve														(112,694	)

Loans receivable, net													$	16,250,914

(1)	Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications.

(2)

Excludes the $76.9 million net book value of our

held-to-maturity

debt securities which represents our subordinated risk retention position related to the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

Multifamily Joint Venture

As discussed in Note 2, we entered into a Multifamily Joint Venture in April 2017. As of March 31, 2020 and December 31, 2019, our Multifamily Joint Venture held $731.4

million and $670.5 million of loans, respectively, which are included in the loan disclosures above. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.

4. OTHER ASSETS AND LIABILITIES

Other Assets

The following table details the components of our other assets ($ in thousands):


	March 31, 2020			December 31, 2019
Debt securities held-to-maturity (1)	$	82,058		$	86,638
CECL reserve		(5,122	)		—

Debt securities held-to-maturity, net		76,936			86,638
Accrued interest receivable		72,578			66,649
Loan portfolio payments held by servicer (2)		656			49,584
Prepaid expenses		616			739
Prepaid taxes		376			376
Derivative assets		1			1,079
Collateral deposited under derivative agreements		—			30,800
Other		994			1,115

Total	$	152,157		$	236,980


(1)		Represents the subordinate risk retention interest in the 2018 Single Asset Securitization, which held aggregate loan assets of $880.7 million and $930.0 million as of March 31, 2020 and December 31, 2019, respectively, with a yield to full maturity of L+10.0% and a maximum maturity date of June 9, 2025, assuming all extension options are exercised by the borrower. Refer to Note 15 for additional discussion.
( 2 )		Represents loan principal and interest payments held by our third-party loan servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle.

Current Expected Credit Loss Reserve

The CECL reserve required under GAAP reflects our current estimate of potential credit losses related to the loans and debt securities included in our consolidated balance sheets. Refer to Note 2 for further discussion of our CECL reserve. The following table presents the activity in our debt securities CECL reserve by investment pool for the three months ended March 31, 2020 ($ in thousands):


	U.S. Loans		Non-U.S. Loans		Unique Loans		Total
Debt Securities Held-To-Maturity
CECL reserve as of December 31, 2019	$	—	$	—	$	—	$	—
Initial CECL reserve on January 1, 2020		445		—		—		445
Increase in CECL reserve		4,677		—		—		4,677

CECL reserve as of March 31, 2020	$	5,122	$	—	$	—	$	5,122

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

Our initial CECL reserve against our debt securities

held-to-maturity

of $445,000 recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2020, we recorded a $4.7 million increase in expected credit loss reserve against our debt securities

held-to-maturity,

bringing our total CECL reserve to $5.1 million as of March 31, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio. See Note 2 for further discussion of

COVID-19.

Other Liabilities

The following table details the components of our other liabilities ($ in thousands):


	March 31, 2020		December 31, 2019
Accrued dividends payable	$	83,920	$	83,702
Accrued interest payable		27,549		24,831
Current expected credit loss reserve for unfunded loan commitments (1)		22,536		—
Accrued management and incentive fees payable		19,277		20,159
Accounts payable and other liabilities		6,453		5,008
Derivative liabilities		1		42,263

Total	$	159,736	$	175,963


(1)		Represents the CECL reserve related to our unfunded loan commitments. See Note 2 for further discussion of the CECL reserve.

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

As of March 31, 2020, we had unfunded commitments of $3.9 billion related to 94 loans receivable. The expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. See Note 2 for further discussion of the CECL reserve related to our unfunded loan commitments, and Note 17 for further discussion of our unfunded loan commitments. The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three months ended March 31, 2020 ($ in thousands):


	U.S. Loans		Non-U.S. Loans		Unique Loans		Total
Unfunded Loan Commitments
CECL reserve as of December 31, 2019	$	—	$	—	$	—	$	—
Initial CECL reserve on January 1, 2020		2,801		453		9		3,263
Increase in CECL reserve		16,992		2,219		62		19,273

CECL reserve as of March 31, 2020	$	19,793	$	2,672	$	71	$	22,536

Our initial CECL reserve against our unfunded loan commitments of $3.3 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2020, we recorded a $19.3 million increase in expected credit loss reserve against our unfunded loan commitments, bringing our total CECL reserve to $22.5 million as of March 31, 2020. This CECL reserve reflects the macroeconomic impact of the COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio. See Note 2 for further discussion of COVID-19.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

5. SECURED DEBT AGREEMENTS, NET

During the three months ended March 31, 2020, we increased the size of one of our credit facilities and added a multi-currency facility with one of our existing lenders, providing an aggregate additional $650.0 million of credit capacity.

Our secured debt agreements include secured credit facilities, asset-specific financings, and a revolving credit agreement. The following table details our secured debt agreements ($ in thousands):


	Secured Debt Agreements
	Borrowings Outstanding
	March 31, 2020			December 31, 2019
Secured credit facilities	$	9,019,652		$	9,753,059
Asset-specific financings		347,618			330,879
Revolving credit agreement		—			—

Total secured debt agreements	$	9,367,270		$	10,083,938

Deferred financing costs (1)		(31,561	)		(29,008	)

Net book value of secured debt	$	9,335,709		$	10,054,930


(1)		Costs incurred in connection with our secured debt agreements are recorded on our consolidated balance sheet when incurred and recognized as a component of interest expense over the life of each related agreement.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

Secured Credit Facilities

The following table details our secured credit facilities as of March 31, 2020 ($ in thousands):


	March 31, 2020
	Credit Facility Borrowings						Collateral
Lender	Potential (1)		Outstanding		Available (1)		Assets (2)
Deutsche Bank	$	1,958,510	$	1,870,556	$	87,954	$	2,494,270
Barclays		1,618,795		1,529,553		89,242		2,023,495
Wells Fargo		1,492,906		1,464,938		27,968		1,928,798
Citibank		919,790		875,416		44,374		1,178,568
Goldman Sachs		555,612		555,612		—		727,728
Bank of America		538,473		443,473		95,000		749,127
Morgan Stanley		493,208		438,202		55,006		670,544
MetLife		434,131		434,131		—		545,573
JP Morgan		401,865		357,639		44,226		509,766
US Bank - Multi. JV (3)		281,872		279,552		2,320		352,340
Goldman Sachs - Multi. JV (3)		240,263		240,263		—		306,367
Société Générale		236,698		236,698		—		300,386
Santander		235,447		235,447		—		298,865
Bank of America - Multi. JV (3)		58,172		58,172		—		72,715

	$	9,465,742	$	9,019,652	$	446,090	$	12,158,542


(1)		Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.
(2)		Represents the principal balance of the collateral assets.
(3)		These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.

The weighted-average outstanding balance of our secured credit facilities was $9.3 billion for the three months ended March 31, 2020. As of March 31, 2020, we had aggregate borrowings of $9.0 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus 1.60% per annum, a weighted-average

all-in

cost of credit, including associated fees and expenses, of LIBOR plus 1.81% per annum, and a weighted-average advance rate of 79.0%. As of March 31, 2020, outstanding borrowings under these facilities had a weighted-average maturity, including extension options, of 3.5

years.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

The following table details our secured credit facilities as of December 31, 2019 ($ in thousands):


	December 31, 2019
	Credit Facility Borrowings						Collateral
Lender	Potential (1)		Outstanding		Available (1)		Assets (2)
Wells Fargo	$	2,056,769	$	2,018,057	$	38,712	$	2,621,806
Deutsche Bank		2,037,795		1,971,860		65,935		2,573,447
Barclays		1,629,551		1,442,083		187,468		2,044,654
Citibank		1,159,888		1,109,837		50,051		1,473,745
Bank of America		603,660		513,660		90,000		775,678
Morgan Stanley		524,162		468,048		56,114		706,080
Goldman Sachs		474,338		450,000		24,338		632,013
MetLife		417,677		417,677		—		536,553
Société Générale		333,473		333,473		—		437,130
US Bank - Multi. JV (3)		279,838		279,552		286		350,034
JP Morgan		303,288		259,062		44,226		386,545
Santander		239,332		239,332		—		299,597
Goldman Sachs - Multi. JV (3)		203,846		203,846		—		261,461
Bank of America - Multi. JV (3)		46,572		46,572		—		58,957

	$	10,310,189	$	9,753,059	$	557,130	$	13,157,700


(1)		Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.
(2)		Represents the principal balance of the collateral assets.
(3)		These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.

The weighted-average outstanding balance of our secured credit facilities was $9.4 billion for the three months ended December 31, 2019. As of December 31, 2019, we had aggregate borrowings of $9.8 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus 1.60% per annum, a weighted-average

all-in

cost of credit, including associated fees and expenses, of LIBOR plus 1.79% per annum, and a weighted-average advance rate of 79.4%. As of December 31, 2019, outstanding borrowings under these facilities had a weighted-average maturity, including extension options, of 3.6 years.

Borrowings under each facility are subject to the initial approval of eligible collateral loans by the lender and the maximum advance rate and pricing rate of individual advances are determined with reference to the attributes of the respective collateral loan.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

The following tables outline the key terms of our credit facilities as of March 31, 2020:

Lender

Currency

Guarantee

(1)

Margin Call

(2)

Term/Maturity

Morgan Stanley

$ / £ /

€

25%

Collateral marks only

March 1, 2022

Goldman Sachs - Multi. JV

(3)

25%

Collateral marks only

July 12, 2022

(

Bank of America - Multi. JV

(3)

43%

Collateral marks only

July 19, 2023

(7)

JP Morgan

$ / £

42%

Collateral marks only

January 7, 2024

(8)

Bank of America

50%

Collateral marks only

May 21, 2024

(9)

Barclays

$ / £ /

€

25%

Collateral marks only

June 18, 2024

(

10)

Goldman Sachs

$ / £ /

€

25%

Collateral marks only

October 22, 2024

(11)

MetLife

61%

Collateral marks only

September 23, 2025

(12)

Deutsche Bank

$ /

€

62%

(4)

Collateral marks only

Term matched

(13)

Citibank

$ / £ /

€

/ A$ / C$

25%

Collateral marks only

Term matched

(13)

Société Générale

$ / £ /

€

25%

Collateral marks only

Term matched

(13)

Santander

€

50%

Collateral marks only

Term matched

(13)

Wells Fargo

$ / C$

25%

(5)

Collateral marks only

Term matched

(13)

US Bank - Multi. JV

(3)

25%

Collateral marks only

Term matched

(13)


(1)		Other than amounts guaranteed based on specific collateral asset types, borrowings under our credit facilities are non-recourse to us.
(2)		Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and are limited to collateral-specific credit marks.
(3)		These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.
(4)		Specific borrowings outstanding of $914.2 million are 100% guaranteed. The remainder of the credit facility borrowings are 25% guaranteed.
(5)		In addition to the 25% guarantee across all borrowings, there is an incremental guarantee of $146.2 million related to $194.9 million of specific borrowings outstanding.
(6)		Includes a one-year extension option which may be exercised at our sole discretion.
(7)		Includes two one-year extension options which may be exercised at our sole discretion.
(8)		Includes t wo one-year extension options which may be exercised at our sole discretion.
(9)		Includes two one-year extension options which may be exercised at our sole discretion.
(10)		Includes four one-year extension options which may be exercised at our sole discretion.
(11)		Includes three one-year extension options which may be exercised at our sole discretion.
(12)		Includes five one-year extension options which may be exercised at our sole discretion.
(13)		These secured credit facilities have various availability periods during which new advances can be made and which are generally subject to each lender’s discretion. Maturity dates for advances outstanding are tied to the term of each respective collateral asset.


Currency	Potential Borrowings (1)		Outstanding Borrowings		Floating Rate Index (2)	Spread	Advance Rate (3)
$	$	5,736,519	$	5,322,859	USD LIBOR	L + 1.60%		78.8%
€	€	2,204,821	€	2,175,406	EURIBOR	E + 1.41%		80.0%
£	£	874,118	£	874,118	GBP LIBOR	L + 1.98%		77.9%
A$	A$	255,270	A$	255,270	BBSY	BBSY + 1.90%		78.0%
C$	C$	77,264	C$	77,259	CDOR	CDOR + 1.80%		78.3%

	$	9,465,742	$	9,019,652		INDEX + 1.60%		79.0%


(1)		Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.
(2)		Floating rate indices are generally matched to the payment timing under the terms of each secured credit facility and its respective collateral assets.
(3)		Represents weighted-average advance rate based on the approved outstanding principal balance of the collateral assets pledged.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Asset-Specific Financings

The following tables detail our asset-specific financings ($ in thousands):


	March 31, 2020
Asset-Specific Financings	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Guarantee (2)		Wtd. Avg. Term (3)
Collateral assets	4	$	445,917	$	434,409		L+4.90	%		n/a		Mar. 2023
Financing provided	4	$	347,618	$	340,407		L+3.42	%	$	95,721		Mar. 2023


	December 31, 2019
Asset-Specific Financings	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Guarantee (2)		Wtd. Avg. Term (3)
Collateral assets	4	$	429,983	$	417,820		L+4.90	%		n/a		Mar. 2023
Financing provided	4	$	330,879	$	323,504		L+3.42	%	$	97,930		Mar. 2023
____________


(1)		These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.
(2)		Other than amounts guaranteed on an asset by asset basis, borrowings under our asset-specific financings are non-recourse to us.
(3)		The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific financings is term-matched to the corresponding collateral loans.

The weighted-average outstanding balance of our asset-specific financings was $342.1 million for the three months ended March 31, 2020 and $293.9 million for the three months ended December 31, 2019.

Revolving Credit Agreement

We have a $250.0 million full recourse secured revolving credit agreement with Barclays that is designed to finance first mortgage originations for up to nine months as a bridge to term financing or syndication. Advances under the agreement are subject to availability under a specified borrowing base and accrue interest at a per annum pricing rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case, dependent on the applicable type of loan collateral. The maturity date of the facility is April 4, 2023.

During the three months ended March 31, 2020,

we had no

borrowings under the revolving credit agreement and we recorded interest expense of $496,000, including $274,000

of amortization of deferred fees and expenses.

During the three months ended December 31, 2019,

we had no

borrowings under the revolving credit agreement and we recorded interest expense of $490,000, including $266,000 of amortization of deferred fees and expenses.

Debt Covenants

The guarantees related to our secured debt agreements contain the following financial covenants: (i) our ratio of earnings before interest, taxes, depreciation, and amortization, or EBITDA, to fixed charges, as defined in the agreements, shall be not less than 1.4 to 1.0; (ii) our tangible net worth, as defined in the agreements, shall not be less than $2.8 billion as of each measurement date plus 75% of the net cash proceeds of future equity issuances subsequent to March 31, 2020; (iii) cash liquidity shall not be less than the greater of (x) $10.0 million or (y) no more than 5% of our recourse indebtedness; and (iv) our indebtedness shall not exceed 83.33% of our total assets. As of March 31, 2020 and December 31, 2019, we were in compliance with these covenants. Refer to Note 7 for information regarding financial covenants contained in the agreements governing our senior secured term loan facility.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

6. SECURITIZED DEBT OBLIGATIONS, NET

In the first quarter of 2020 and the fourth quarter of 2017, we financed certain pools of our loans through collateralized loan obligations, which we refer to as the 2020 CLO and 2017 CLO, respectively, or collectively, the CLOs. We have also financed one of our loans through a single asset securitization vehicle, or the 2017 Single Asset Securitization. The 2020 CLO, 2017 CLO, and the 2017 Single Asset Securitization have issued securitized debt obligations that are

non-recourse

to us. The CLOs and the 2017 Single Asset Securitization are consolidated in our financial statements. Refer to Note 15 for further discussion of our CLOs and 2017 Single Asset Securitization.

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Notes to Consolidated Financial Statements (continued)

(Unaudited)

The following tables detail our securitized debt obligations ($ in thousands):


	March 31, 2020
Securitized Debt Obligations	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Term (2)
2020 Collateralized Loan Obligation
Collateral assets	34	$	1,500,000	$	1,500,000		L+3.22	%		December 2023
Financing provided	1		1,243,125		1,231,186		L+1.47	%		February 2038
2017 Collateralized Loan Obligation
Collateral assets	16		717,763		717,763		L+3.35	%		January 2023
Financing provided	1		535,263		533,857		L+1.82	%		June 2035
2017 Single Asset Securitization
Collateral assets (3)	1		716,884		716,240		L+3.60	%		June 2023
Financing provided	1		474,620		474,597		L+1.63	%		June 2033
Total
Collateral assets	51	$	2,934,647	$	2,934,003		L+3.36	%

Financing provided (4)	3	$	2,253,008	$	2,239,640		L+1.59	%


	December 31, 2019
Securitized Debt Obligations	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Term (2)
2017 Collateralized Loan Obligation
Collateral assets	18	$	897,522	$	897,522		L+3.43	%		September 2022
Financing provided	1		715,022		712,517		L+1.98	%		June 2035
2017 Single Asset Securitization
Collateral assets (3)	1		711,738		710,260		L+3.60	%		June 2023
Financing provided	1		474,620		474,567		L+1.64	%		June 2033
Total
Collateral assets	19	$	1,609,260	$	1,607,782		L+3.51	%

Financing provided (4)	2	$	1,189,642	$	1,187,084		L+1.84	%


(1)		In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.
(2)		Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.
(3)		The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(4)		During the three months ended March 31, 2020 and 2019, we recorded $12.0 million and $13.5 million, respectively, of interest expense related to our securitized debt obligations.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

7. SECURED TERM LOAN, NET

As of March 31, 2020, the following senior secured term loan facility, or Secured Term Loan, was outstanding ($ in thousands):

Term Loan Issuance

Face Value

Net Book Value

(1)

Interest Rate

All-in

Cost

(2)

Maturity

Term Loan B

745,006

734,695

L+2.25

L+2.52

April 23, 2026


(1)		The net book value of our Secured Term Loan was $736.1 million as of December 31, 2019.
(2)		Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loan.

The Secured Term Loan is partially amortizing, with an amount equal to 1.0% per annum of the aggregate principal balance due in quarterly installments. The issue discount and transaction expenses on the Secured Term Loan were $1.6 million and $10.1 million, respectively, which will be amortized into interest expense over the life of the Secured Term Loan. The guarantee under our Secured Term Loan contains the financial covenant that our indebtedness shall not exceed

83.33

% of our total assets. As of March 31, 2020 and December 31, 2019, we were in compliance with this covenant. Refer to Note 2 for additional discussion of our accounting policies for the Secured Term Loan.

8. CONVERTIBLE NOTES, NET

As of March 31, 2020, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):


Convertible Notes Issuance	Face Value		Coupon Rate			All-in Cost (1)			Conversion Rate (2)		Maturity
May 2017	$	402,500		4.38	%		4.85	%		28.0324		May 5, 2022
March 2018	$	220,000		4.75	%		5.33	%		27.6052		March 15, 2023


(1)		Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.
(2)		Represents the shares of class A common stock per $1,000 principal amount of Convertible Notes, which is equivalent to a conversion price of $35.67 and $36.23 per share of class A common stock, respectively, for the May 2017 and March 2018 convertible notes. The cumulative dividend threshold as defined in the respective May 2017 and March 2018 convertible notes supplemental indentures have not been exceeded as of March 31, 2020.

The Convertible Notes are convertible at the holders’ option into shares of our class A common stock, only under specific circumstances, prior to the close of business on January 31, 2022 and December 14, 2022 for the May 2017 and March 2018 convertible notes, respectively, at the applicable conversion rate in effect on the conversion date. Thereafter, the Convertible Notes are convertible at the option of the holder at any time until the second scheduled trading day immediately preceding the maturity date. We may not redeem the Convertible Notes prior to maturity. The last reported sale price of our class A common stock of $18.62 on March 31, 2020 was less than the per share conversion price of the May 2017 and March 2018 convertible notes. We have the intent and ability to settle each series of the Convertible Notes in cash and, as a result, the potential conversion of the Convertible Notes did not have any impact on our diluted earnings per share.

Upon our issuance of the May 2017 convertible notes, we recorded a $979,000 discount based on the implied value of the conversion option and an assumed effective interest rate of 4.57%, as well as $8.4 million of issue discount and issuance costs. Including the amortization of the discount and issuance costs, our total cost of the May 2017 convertible notes issuance is 4.91% per annum.

Upon our issuance of the March 2018 convertible notes, we recorded a $1.5 million discount based on the implied value of the conversion option and an assumed effective interest rate of 5.25%, as well as $5.2 million of issue discount and issuance costs. Including the amortization of the discount and issuance costs, our total cost of the March 2018 convertible notes issuance is 5.49% per annum.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

The following table details the net book value of our Convertible Notes on our consolidated balance sheets ($ in thousands):


	March 31, 2020			December 31, 2019
Face value	$	622,500		$	622,500
Unamortized discount		(8,047	)		(8,801	)
Deferred financing costs		(571	)		(628	)

Net book value	$	613,882		$	613,071

The following table details our interest expense related to the Convertible Notes ($ in thousands):


	Three Months Ended
	March 31,
	2020		2019
Cash coupon	$	7,015	$	7,015
Discount and issuance cost amortization		811		772

Total interest expense	$	7,826	$	7,787

Accrued interest payable for the Convertible Notes was $7.8 million and $6.0 million as of March 31, 2020 and December 31, 2019, respectively. Refer to Note 2 for additional discussion of our accounting policies for the Convertible Notes.

9. DERIVATIVE FINANCIAL INSTRUMENTS

The sole objective of our use of derivative financial instruments is to minimize the risks and/or costs associated with our investments and/or financing transactions. These derivatives may or may not qualify as net investment, cash flow, or fair value hedges under the hedge accounting requirements of ASC 815 – “Derivatives and Hedging.” Derivatives not designated as hedges are not speculative and are used to manage our exposure to interest rate movements and other identified risks. Refer to Note 2 for additional discussion of the accounting for designated and

non-designated

hedges.

The use of derivative financial instruments involves certain risks, including the risk that the counterparties to these contractual arrangements do not perform as agreed. To mitigate this risk, we only enter into derivative financial instruments with counterparties that have appropriate credit ratings and are major financial institutions with which we and our affiliates may also have other financial relationships.

Net Investment Hedges of Foreign Currency Risk

Certain of our international investments expose us to fluctuations in foreign interest rates and currency exchange rates. These fluctuations may impact the value of our cash receipts and payments in terms of our functional currency, the U.S. dollar. We may use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S. dollar. During the three months ended March 31, 2020, we terminated all of our outstanding foreign currency forward contracts, with aggregate notional amounts of

€

552.1 million, £365.5

million, A$134.8

million, and C$23.7 million. Our exposure to these currencies continues to be reduced by our local-currency borrowings investments denominated in currencies other than the U.S. dollar.

As of March 31, 2020, we did not have any outstanding foreign exchange derivatives designated as net investment hedges of foreign currency risk. The following table details our outstanding foreign exchange derivatives that were designated as net investment hedges of foreign currency risk (notional amount in thousands):


December 31, 2019
Foreign Currency	Number of		Notional
Derivatives	Instruments		Amount
Sell GBP Forward		4	£	527,100
Sell EUR Forward		5	€	525,600
Sell AUD Forward		3	A$	135,600
Sell CAD Forward		1	C$	23,200

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Cash Flow Hedges of Interest Rate Risk

Certain of our transactions expose us to interest rate risks, which include a fixed versus floating rate mismatch between our assets and liabilities. We use derivative financial instruments, which include interest rate caps and swaps, and may also include interest rate options, floors, and other interest rate derivative contracts, to hedge interest rate risk.

The following tables detail our outstanding interest rate derivatives that were designated as cash flow hedges of interest rate risk (notional amount in thousands):

March 31, 2020

Interest Rate Derivatives

Number of
Instruments

Notional
Amount

Strike

Index

Wtd.-Avg.

Maturity (Years)

Interest Rate Swaps

17,273

1.0%

CDOR

0.4

Interest Rate Caps

21,387

3.0%

CDOR

0.7

December 31, 2019

Interest Rate Derivatives

Number of
Instruments

Notional
Amount

Strike

Index

Wtd.-Avg.

Maturity (Years)

Interest Rate Swaps

17,273

1.0%

CDOR

0.7

Interest Rate Caps

21,387

3.0%

CDOR

1.0

Amounts reported in accumulated other comprehensive income (loss) related to derivatives will be reclassified to interest expense as interest payments are made on our floating rate debt. During the twelve months following March 31, 2020, we estimate that an additional $5,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest

expense

Non-designated

Hedges

As of March 31, 2020, we did not have any outstanding

non-designated

hedges of foreign currency risk. During the three months ended March 31, 2020 and March 31, 2019, we recorded

losses

of $1.2 million

and

gains

$660,000, respectively, related to

non-designated

hedges that were reported as a component of interest expense in our consolidated financial statements.

The following tables summarize our

non-designated

hedges (notional amount in thousands):


December 31, 2019
	Number of	Notional
Non-designated Hedges	Instruments	Amount
Buy CAD / Sell USD Forward	1	C$	15,900
Buy USD / Sell CAD Forward	1	C$	15,900
Buy GBP / Sell EUR Forward	1	€	12,857
Buy AUD / Sell USD Forward	1	A$	10,000
Buy USD / Sell AUD Forward	1	A$	10,000

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Valuation of Derivative Instruments

The following table summarizes the fair value of our derivative financial instruments ($ in thousands):


	Fair Value of Derivatives in an				Fair Value of Derivatives in a
	Asset Position (1) as of				Liability Position (2) as of
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Derivatives designated as hedging instruments:
Interest rate derivatives	$	1	$	96	$	1	$	—
Foreign exchange contracts		—		—		—		41,728

Total	$	1	$	96	$	1	$	41,728

Derivatives not designated as hedging instruments:
Interest rate derivatives	$	—	$	—	$	—	$	—
Foreign exchange contracts		—		983		—		535

Total	$	—	$	983	$	—	$	535

Total Derivatives	$	1	$	1,079	$	1	$	42,263

(1)

Included in other assets in our consolidated balance sheets.

(2)

Included in other liabilities in our consolidated balance sheets.

The following table presents the effect of our derivative financial instruments on our consolidated statements of operations ($ in thousands):


	Amount of Gain (Loss) Recognized in OCI on Derivatives						Location of Gain			Amount of Gain Reclassified from Accumulated OCI into Income
	Three Months Ended March 31,						Reclassified from Accumulated			Three Months Ended March 31,
Derivatives in Hedging Relationships	2020			2019			OCI into Income			2020		2019
Net Investment Hedges
Foreign exchange contracts (1)	$	104,086		$	(1,646	)		Interest Expense		$	—	$	—
Cash Flow Hedges
Interest rate derivatives		(67	)		(134	)		Interest Expense	(2)		28		168

Total	$	104,019		$	(1,780	)				$	28	$	168


(1)		During the three months ended March 31, 2020 and 2019, we received net cash settlements of $61.7 million and paid $2.0 million, respectively, on our foreign currency forward contracts. Those amounts are included as a component of accumulated other comprehensive loss on our consolidated balance sheets.
(2)		During the three months ended March 31, 2020 and 2019, we recorded total interest and related expenses of $104.2 million and $118.7 million, respectively, which were reduced by $28,000 and $168,000, respectively, related to income generated by our cash flow hedges.

Credit-Risk Related Contingent Features

We have entered into agreements with certain of our derivative counterparties that contain provisions where if we were to default on any of our indebtedness, including default where repayment of the indebtedness has not been accelerated by the lender, we may also be declared in default on our derivative obligations. In addition, certain of our agreements with our derivative counterparties require that we post collateral to secure net liability positions. As

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

of March 31, 2020, we were in a net

liabilit

position with one such derivative counterparty and did not have any collateral posted under the derivative contract. As of December 31, 2019, we were in a net liability position with each such derivative counterparty and posted collateral of $30.8 million under these derivative contracts.

10. EQUITY

Stock and Stock Equivalents

Authorized Capital

As of March 31, 2020, we had the authority to issue up to 300,000,000 shares of stock, consisting of 200,000,000 shares of class A common stock and 100,000,000 shares of preferred stock. Subject to applicable NYSE listing requirements, our board of directors is authorized to cause us to issue additional shares of authorized stock without stockholder approval. In addition, to the extent not issued, currently authorized stock may be reclassified between class A common stock and preferred stock. We did not have any shares of preferred stock issued and outstanding as of March 31, 2020.

Class A Common Stock and Deferred Stock Units

Holders of shares of our class A common stock are entitled to vote on all matters submitted to a vote of stockholders and are entitled to receive such dividends as may be authorized by our board of directors and declared by us, in all cases subject to the rights of the holders of shares of outstanding preferred stock, if any.

We also issue restricted class A common stock under our stock-based incentive plans. Refer to Note 13 for additional discussion of these long-term incentive plans. In addition to our class A common stock, we also issue deferred stock units to certain members of our board of directors in lieu of cash compensation for services rendered. These deferred stock units are

non-voting,

but carry the right to receive dividends in the form of additional deferred stock units in an amount equivalent to the cash dividends paid to holders of shares of class A common stock.

The following table details the movement in our outstanding shares of class A common stock, including restricted class A common stock and deferred stock units:


	Three Months Ended March 31,
Common Stock Outstanding (1)	2020		2019
Beginning balance		135,263,728		123,664,577
Issuance of class A common stock (2)		325		1,909,909
Issuance of restricted class A common stock, net		351,333		320,903
Issuance of deferred stock units		7,983		7,964

Ending balance		135,623,369		125,903,353


(1)		Includes deferred stock units held by members of our board of directors of 268,049 and 236,803 as of March 31, 2020 and 2019, respectively.
(2)		Includes 325 and 281 shares issued under our dividend reinvestment program during the three months ended March 31, 2020 and 2019, respectively.

Dividend Reinvestment and Direct Stock Purchase Plan

On March 25, 2014, we adopted a dividend reinvestment and direct stock purchase plan, under which we registered and reserved for issuance, in the aggregate, 10,000,000 shares of class A common stock. Under the dividend reinvestment component of this plan, our class A common stockholders can designate all or a portion of their cash dividends to be reinvested in additional shares of class A common stock. The direct stock purchase component allows stockholders and new investors, subject to our approval, to purchase shares of class A common stock directly from us. During the three months ended March 31, 2020 and 2019, we issued 325 shares and 281 shares, respectively, of class A common stock under the dividend reinvestment component of the plan. As of March 31, 2020, a total of 9,993,699 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

At the Market Stock Offering Program

On November 14, 2018, we entered into six equity distribution agreements, or ATM Agreements, pursuant to which we may sell, from time to time, up to an aggregate sales price of $500.0 million of our class A common stock. On July 26, 2019, we amended our existing ATM Agreements and entered into one additional ATM Agreement. Sales of class A common stock made pursuant to our ATM Agreements may be made in negotiated transactions or transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, as amended. Actual sales depend on a variety of factors including market conditions, the trading price of our class A common stock, our capital needs, and our determination of the appropriate sources of funding to meet such needs. We did not sell any shares of our class A common stock under ATM Agreements during the three months ended March 31, 2020. During the three months ended March 31, 2019, we issued and sold 1,909,628 shares of class A common stock under ATM Agreements, generating net proceeds totaling $65.4 million. As of March 31, 2020, sales of our class A common stock with an aggregate sales price of $363.8 million remained available for issuance under our ATM Agreements.

Dividends

We generally intend to distribute substantially all of our taxable income, which does not necessarily equal net income as calculated in accordance with GAAP, to our stockholders each year to comply with the REIT provisions of the Internal Revenue Code of 1986, as amended, or the Internal Revenue Code. Our

dividend policy remains subject to revision at the discretion of our board of directors. All distributions will be made at the discretion of our board of directors and will depend upon our taxable income, our financial condition, our maintenance of REIT status, applicable law, and other factors as our board of directors deems relevant.

On March 13, 2020, we declared a dividend of $0.62 per share, or $83.9 million in aggregate, that was paid on April 15, 2020, to stockholders of record as of March 31, 2020. The following table details our dividend activity ($ in thousands, except per share data):


	Three Months Ended March 31,
	2020		2019
Dividends declared per share of common stock	$	0.62	$	0.62
Total dividends declared	$	83,920	$	77,913

Earnings Per Share

We calculate our basic and diluted earnings per share using the

two-class

method for all periods presented as the unvested shares of our restricted class A common stock qualify as participating securities, as defined by GAAP. These restricted shares have the same rights as our other shares of class A common stock, including participating in any dividends, and therefore have been included in our basic and diluted net income per share calculation. Our Convertible Notes are excluded from dilutive earnings per share as we have the intent and ability to settle these instruments in cash.

The following table sets forth the calculation of basic and diluted net income per share of class A common stock based on the weighted-average of both restricted and unrestricted class A common stock outstanding ($ in thousands, except per share data):


	Three Months Ended March 31,
	2020			2019
Net (loss) income (1)	$	(53,350	)	$	76,565
Weighted-average shares outstanding, basic and diluted		135,619,264			124,333,048

Per share amount, basic and diluted	$	(0.39	)	$	0.62


(1) Represents net (loss) income attributable to Blackstone Mortgage Trust.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Other Balance Sheet Items

Accumulated Other Comprehensive

Incom

As of March 31, 2020, total accumulated other

comprehensive

income

was $18.2 million, primarily representing $168.5

million of net realized and unrealized gains related to changes in the fair value of derivative instruments, offset by

150.3

million

of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies. As of December 31, 2019, total accumulated other comprehensive loss was

16.2

million, primarily representing $

80.7

million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies, offset by $

64.5

million of net realized and unrealized gains related to changes in the fair value of derivative instruments.

Non-Controlling

Interests

The

non-controlling

interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are not owned by us. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these

non-controlling

interests based on their pro rata ownership of our Multifamily Joint Venture. As of March 31, 2020, our Multifamily Joint Venture’s total equity was $156.7 million, of which $133.2 million was owned by us, and $23.5 million was allocated to

non-controlling

interests. As of December 31, 2019, our Multifamily Joint Venture’s total equity was $147.3 million, of which $125.2 million was owned by us, and $22.1 million was allocated to

non-controlling

interests.

11. OTHER EXPENSES

Our other expenses consist of the management and incentive fees we pay to our Manager and our general and administrative expenses.

Management and Incentive Fees

Pursuant to a management agreement between our Manager and us, or our Management Agreement, our Manager earns a base management fee in an amount equal to 1.50% per annum multiplied by our outstanding equity balance, as defined in the Management Agreement. In addition, our Manager is entitled to an incentive fee in an amount equal to the product of (i) 20% and (ii) the excess of (a) our Core Earnings (as defined in our Management Agreement) for the previous

12-month

period over (b) an amount equal to 7.00% per annum multiplied by our outstanding Equity, provided that our Core Earnings over the prior three-year period is greater than zero. Core Earnings, as defined in our Management Agreement, is generally equal to our net income (loss) prepared in accordance with GAAP, excluding (i) certain

non-cash

items, (ii) the net income (loss) related to our legacy portfolio, and (iii) incentive management fees.

During the three months ended March 31, 2020 and 2019, we incurred $14.5 million and $13.1 million, respectively, of management fees payable to our Manager. In addition, during the three months ended March 31, 2020 and 2019, we incurred $4.8 million and $6.7 million, respectively, of incentive fees payable to our Manager.

As of March 31, 2020 and December 31, 2019 we had accrued management and incentive fees payable to our Manager of $19.3 million and $20.2 million, respectively.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

General and Administrative Expenses

General and administrative expenses consisted of the following ($ in thousands):


	Three Months Ended March 31,
	2020		2019
Professional services (1)	$	1,662	$	1,096
Operating and other costs (1)		1,451		449

Subtotal		3,113		1,545
Non-cash compensation expenses
Restricted class A common stock earned		8,553		7,643
Director stock-based compensation		125		125

Subtotal		8,678		7,768

Total general and administrative expenses	$	11,791	$	9,313


(1) During the three months ended March 31, 2020 and 2019, we recognized an aggregate $376,000 and $169,000, respectively, of expenses related to our Multifamily Joint Venture.

12. INCOME TAXES

We have elected to be taxed as a REIT under the Internal Revenue Code for U.S. federal income tax purposes. We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S. federal income tax not to apply to our earnings that we distribute. To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws.

Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state, and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of March 31, 2020 and December 31, 2019, we were in compliance with all REIT requirements.

Securitization transactions could result in the creation of taxable mortgage pools for federal income tax purposes. As a REIT, so long as we own

100

% of the equity interests in a taxable mortgage pool, we generally would not be adversely affected by the characterization of the securitization as a taxable mortgage pool. Certain categories of stockholders, however, such as foreign stockholders eligible for treaty or other benefits, stockholders with net operating losses, and certain

tax-exempt

stockholders that are subject to unrelated business income tax, or UBTI, could be subject to increased taxes on a portion of their dividend income from us that is attributable to the taxable mortgage pool. We currently own no UBTI producing assets and we do not intend to purchase or generate assets that produce UBTI distributions in the future.

During the three months ended March 31, 2020 and 2019, we recorded a current income tax provision of $149,000 and $101,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes. We did not have any deferred tax assets or liabilities as of March 31, 2020 or December 31, 2019.

Effective January 1, 2018, under legislation from the Tax Cuts and Jobs Act of 2017, the maximum U.S. federal corporate income tax rate was reduced from

% to

%. Accordingly, to the extent that the activities of our taxable REIT subsidiaries generate taxable income in future periods, they may be subject to lower U.S. federal income tax rates.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

We have net operating losses, or NOLs, generated by our predecessor business that may be carried forward and utilized in current or future periods. As a result of our issuance of 25,875,000 shares of class A common stock in May 2013, the availability of our NOLs is generally limited to $2.0 million per annum by change of control provisions promulgated by the Internal Revenue Service with respect to the ownership of Blackstone Mortgage Trust. As of December 31, 2019, we had estimated NOLs of $159.0 million that will expire in 2029, unless they are utilized by us prior to expiration.

As of March 31, 2020, tax years 2016 through 2019 remain subject to examination by taxing authorities.

13. STOCK-BASED INCENTIVE PLANS

We are externally managed by our Manager and do not currently have any employees. However, as of March 31, 2020, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments.

We had stock-based incentive awards outstanding under nine benefit plans as of March 31, 2020. Seven of such benefit plans have expired and no new awards may be issued under them. Under our two current benefit plans, a maximum of 5,000,000 shares of our class A common stock may be issued to our Manager, our directors and officers, and certain employees of affiliates of our Manager. As of March 31, 2020, there were 2,884,030 shares available under our current benefit plans.

The following table details the movement in our outstanding shares of restricted class A common stock and the weighted-average grant date fair value per share:


	Restricted Class A Common Stock			Weighted-Average Grant Date Fair Value Per Share
Balance as of December 31, 2019		1,698,582		$	34.52
Granted		351,582			37.19
Vested		(162,848	)		33.02
Forfeited		(249	)		35.83

Balance as of March 31, 2020		1,887,067		$	35.15

These shares generally vest in installments over a three-year period, pursuant to the terms of the respective award agreements and the terms of our current benefit plans. The 1,887,067 shares of restricted class A common stock outstanding as of March 31, 2020 will vest as follows: 841,584 shares will vest in 2020; 690,100 shares will vest in 2021; and 355,383 shares will vest in 2022. As of March 31, 2020, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $66.1 million based on the grant date fair value of shares granted subsequent to July 1, 2018. The compensation cost of our share based compensation arrangements for awards granted before July 1, 2018 is based on the closing price of our class A common stock of $31.43 on June 29, 2018, the last trading day prior to July 1, 2018. This cost is expected to be recognized over a weighted-average period of 1.1 years from March 31, 2020.

14. FAIR VALUES

Assets and Liabilities Measured at Fair Value

The following table summarizes our assets and liabilities measured at fair value on a recurring basis ($ in thousands):


	March 31, 2020								December 31, 2019
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Derivatives	$	—	$	1	$	—	$	1	$	—	$	1,079	$	—	$	1,079
Liabilities
Derivatives	$	—	$	1	$	—	$	1	$	—	$	42,263	$	—	$	42,263

Refer to Note 2 for further discussion regarding fair value measurement.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Fair Value of Financial Instruments

As discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the statement of financial position, for which it is practicable to estimate that value.

The following table details the book value, face amount, and fair value of the financial instruments described in Note 2 ($ in thousands):


	March 31, 2020						December 31, 2019
	Book		Face		Fair		Book		Face		Fair
	Value		Amount		Value		Value		Amount		Value
Financial assets
Cash and cash equivalents	$	355,018	$	355,018	$	355,018	$	150,090	$	150,090	$	150,090
Loans receivable, net		16,250,914		16,468,767		16,316,003		16,164,801		16,277,343		16,279,904
Debt securities held-to-maturity (1)		76,936		84,244		73,656		86,638		88,958		88,305
Financial liabilities
Secured debt agreements, net		9,335,709		9,367,270		9,367,270		10,054,930		10,083,938		10,083,938
Securitized debt obligations, net		2,239,640		2,253,008		1,993,068		1,187,084		1,189,642		1,189,368
Secured term loan, net		734,695		745,006		640,705		736,142		746,878		750,769
Convertible notes, net		613,882		622,500		490,378		613,071		622,500		665,900

(1) Included in other assets on our consolidated balance sheets.

Estimates of fair value for cash and cash equivalents and convertible notes are measured using observable, quoted market prices, or Level 1 inputs. Estimates of fair value for debt securities held to maturity, securitized debt obligations, and the secured term loan are measured using observable, quoted market prices, in inactive markets, or Level 2 inputs. All other fair value significant estimates are measured using unobservable inputs, or Level 3 inputs. See Note 2 for further discussion regarding fair value measurement of certain of our assets and liabilities.

15. VARIABLE INTEREST ENTITIES

Consolidated Variable Interest Entities

We have financed a portion of our loans through the CLOs and the 2017 Single Asset Securitization, all of which are VIEs. We are the primary beneficiary of, and therefore consolidate, the CLOs and the 2017 Single Asset Securitization on our balance sheet as we (i) control the relevant interests of the CLOs and the 2017 Single Asset Securitization that give us power to direct the activities that most significantly affect the CLOs and the 2017 Single Asset Securitization, and (ii) have the right to receive benefits and obligation to absorb losses of the CLOs and the 2017 Single Asset Securitization through the subordinate interests we own.

The following table details the assets and liabilities of our consolidated CLOs and 2017 Single Asset Securitization VIEs ($ in thousands):


	March 31, 2020			December 31, 2019
Assets:
Loans receivable	$	2,717,763		$	1,349,903
Current expected credit loss reserve		(15,107	)		—
Loans receivable, net		2,702,656			1,349,903
Other assets		6,877			51,788

Total assets	$	2,709,533		$	1,401,691

Liabilities:
Securitized debt obligations, net	$	2,239,640		$	1,187,084
Other liabilities		2,086			1,648

Total liabilities	$	2,241,726		$	1,188,732

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Assets held by these VIEs are restricted and can be used only to settle obligations of the VIEs, including the subordinate interests owned by us. The liabilities of these VIEs are

non-recourse

to us and can only be satisfied from the assets of the VIEs. The consolidation of these VIEs results in an increase in our gross assets, liabilities, interest income and interest expense, however it does not affect our stockholders’ equity or net income.

Non-Consolidated

Variable Interest Entities

In the third quarter of 2018, we contributed a $517.5 million loan to the $1.0 billion 2018 Single Asset Securitization, which is a VIE, and invested in the related $99.0 million subordinate risk retention position. We are not the primary beneficiary of the VIE because we do not have the power to direct the activities that most significantly affect the VIE’s economic performance and, therefore, do not consolidate the 2018 Single Asset Securitization on our balance sheet. We have classified the subordinate risk retention position as a

held-to-maturity

debt security that is included in other assets on our consolidated balance sheets. Our maximum exposure to loss from the 2018 Single Asset Securitization is limited to our book value of $76.9 million as of March 31, 2020.

We are not obligated to provide, have not provided, and do not intend to provide financial support to these consolidated and

non-consolidated

VIEs.

16. TRANSACTIONS WITH RELATED PARTIES

We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2020, and will be automatically renewed for a

one-year

term upon such date and each anniversary thereafter unless earlier terminated.

As of March 31, 2020 and December 31, 2019, our consolidated balance sheet included $19.3 million and $20.2 million of accrued management and incentive fees payable to our Manager, respectively. During the three months ended March 31, 2020, we paid aggregate management and incentive fees of $20.2 million to our Manager, compared to $18.6 million during the same period of 2019. In addition, during the three months ended March 31, 2020, we reimbursed our Manager for expenses incurred on our behalf of $218,000 compared to $188,000 during the same period of 2019.

As of March 31, 2020, our Manager held 936,653 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $32.1 million, and vest in installments over three years from the date of issuance. During the three months ended March 31, 2020 and 2019, we recorded

non-cash

expenses related to shares held by our Manager of $4.3 million and $3.8 million, respectively. Refer to Note 13 for further details on our restricted class A common stock.

An affiliate of our Manager is the special servicer of the CLOs. This affiliate did not earn any special servicing fees related to the CLOs during the three months ended March 31, 2020 or 2019.

During the three months ended March 31, 2020, we originated two loans whereby the respective borrowers engaged an affiliate of our Manager to act as title insurance agent in connection with these transactions. We did not incur any expenses or receive any revenues as a result of th

transaction

There

ere no

similar transactions during the three months ended March 31, 2019.

During the three months ended March 31, 2020 and 2019, we incurred expenses for various administrative, compliance, and capital market data services to third-party service providers that are affiliates of our Manager of $133,000 and

$86,000, respectively.

In the first quarter of 2020, we acquired a $140.0 million

interest in

a total $421.5 million senior loan to a borrower that is partially owned by a Blackstone-advised investment vehicle. We will forgo all

non-economic

rights under the loan, including voting rights, so long as we are an affiliate of the borrower. The senior loan terms were negotiated by third parties without our involvement and our 33% interest in the senior loan was made on such market terms.

In the first quarter of 2019, we originated £240.1 million of a total £490.0 million senior loan to a borrower that is wholly owned by a Blackstone-advised investment vehicle. We will forgo all

non-economic

rights under the loan, including voting rights, so long as the Blackstone-advised investment vehicle controls the borrower. The senior loan terms were negotiated by a third party without our involvement and our 49% interest in the senior loan was made on such market terms.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

17. COMMITMENTS AND CONTINGENCIES

Impact of

COVID-19

As further discussed in Note 2, the full extent of the impact of

COVID-19

on the global economy generally, and our business in particular, is uncertain. As of March 31, 2020, no contingencies have been recorded on our consolidated balance sheet as a result of

COVID-19,

however as the global pandemic continues and the economic implications worsen, it may have long-term impacts on our financial condition, results of operations, and cash flows. Refer to Note 2 for further discussion of

COVID-19.

Unfunded Commitments Under Loans Receivable

As of March 31, 2020, we had unfunded commitments of

$3.9 billion related to 94 loans receivable

We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of

79.0%

for such financed loans, resulting in identified financing for

$2.4 billion of our aggregate unfunded loan commitments as of March 31, 2020. Some of our lenders, including substantially all of our financing of construction loans, are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations. We expect to fund our loan commitments over the tenor of these loans, which have a weighted-average future funding period of 4.0 years. Our future loan

fundings

comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and will vary depending on the progress of capital projects, leasing, and cash flows at the assets underlying our loans. Therefore, the exact timing and amounts of such future loan

fundings

are uncertain and will depend on the current and future performance of the underlying collateral assets. As a result of the

COVID-19

pandemic, the progress of capital expenditures, construction, and leasing is anticipated to be slower than otherwise expected, and the pace of future funding relating to these capital needs may be commensurately slower.

Principal Debt Repayments

Our contractual principal debt repayments as of March 31, 2020 were as follows ($ in thousands):


			Payment Timing
	Total		Less Than		1 to 3		3 to 5		More Than
	Obligation		1 Year		Years		Years		5 Years
Principal repayments under secured debt agreements (1)	$	9,367,270	$	172,926	$	2,803,500	$	6,145,210	$	245,634
Principal repayments of secured term loans (2)		745,006		5,616		16,847		14,975		707,568
Principal repayments of convertible notes (3)		622,500		—		622,500		—		—

Total (4)	$	10,734,776	$	178,542	$	3,442,847	$	6,160,185	$	953,202


(1)		The allocation of repayments under our secured debt agreements is based on the earlier of (i) the maturity date of each facility, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.
(2)		The Secured Term Loan is partially amortizing, with an amount equal to 1.0% per annum of the principal balance due in quarterly installments. Refer to Note 7 for further details on our secured term loan.
(3)		Reflects the outstanding principal balance of Convertible Notes, excluding any potential conversion premium. Refer to Note 8 for further details on our Convertible Notes.
(4)		Does not include $692.3 million of non-consolidated senior interests and $2.3 billion of securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

Board of Directors’ Compensation

As of March 31, 2020, of the eight members of our board of directors, our five independent directors are entitled to annual compensation of $175,000 each, $75,000 of which will be paid in the form of cash and $100,000 in the form of deferred stock units. The other three board members, including our chairman and our chief executive officer, are not compensated by us for their service as directors. In addition, (i) the chair of our audit committee receives additional annual cash compensation of $20,000, (ii) the other members of our audit committee receive additional annual cash compensation of $10,000, and (iii) the chairs of each of our compensation and corporate governance committees receive additional annual cash compensation of $10,000.

Litigation

From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of March 31, 2020, we were not involved in any material legal proceedings.

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ITEM 2.		MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us,” or “our” refer to Blackstone Mortgage Trust, Inc. and its subsidiaries unless the context specifically requires otherwise.

The following discussion should be read in conjunction with the unaudited consolidated financial statements and notes thereto appearing elsewhere in this quarterly report on Form

10-Q.

In addition to historical data, this discussion contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, which reflect our current views with respect to, among other things, our business, operations and financial performance. You can identify these forward-looking statements by the use of words such as “intend,” “goal,” “estimate,” “expect,” “project,” “projections,” “plans,” “seeks,” “anticipates,” “should,” “could,” “may,” “designed to,” “foreseeable future,” “believe,” “scheduled,” and similar expressions. Such forward-looking statements are subject to various risks, uncertainties and assumptions. Our actual results or outcomes may differ materially from those in this discussion as a result of various factors, including but not limited to those discussed in Item 1A. Risk Factors in our annual report on Form

10-K

for the year ended December 31, 2019, as well as in Part II. Item 1A. Risk Factors and elsewhere in this quarterly report on Form

10-Q.

Introduction

We benefit from the deep knowledge, experience and information advantages of our Manager, which is a part of Blackstone’s real estate platform. Blackstone Real Estate is one of the largest owners and operators of real estate in the world, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.

We are headquartered in New York City and conduct our operations as a real estate investment trust, or REIT, for U.S. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries.

Recent Developments

During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or

COVID-19,

which has spread to over 200 countries and territories, including the United States, and has spread to every state in the United States. The World Health Organization has designated

COVID-19

as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to

COVID-19.

The global impact of the outbreak has been rapidly evolving, and as cases of

COVID-19

non-essential

offices and retail centers. Such actions are creating disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown.

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The outbreak of

COVID-19

and its impact on the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our financial condition, results of operations, liquidity, and ability to pay distributions. We expect that these impacts are likely to continue to some extent as the outbreak persists and potentially even longer. The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of

COVID-19

on economic and market conditions, and, as a result, present material uncertainty and risk with respect to us and the performance of our investments. The full extent of the impact and effects of

COVID-19

will depend on future developments, including, among other factors, the duration and spread of the outbreak, along with related travel advisories, quarantines and restrictions, the recovery time of the disrupted supply chains and industries, the impact of labor market interruptions, the impact of government interventions, and uncertainty with respect to the duration of the global economic slowdown. For additional discussion with respect to the potential impact of the

COVID-19

pandemic on our liquidity and capital resources, see “Liquidity and Capital Resources” below.

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I. Key Financial Measures and Indicators

As a real estate finance company, we believe the key financial measures and indicators for our business are earnings per share, dividends declared, Core Earnings, and book value per share. For the three months ended March 31, 2020 we recorded a net loss per share of $0.39, declared a dividend of $0.62 per share, and reported $0.64 per share of Core Earnings. In addition, our book value per share as of March 31, 2020 was $26.92. As further described below, Core Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP. We use Core Earnings to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan activity and operations.

Earnings Per Share and Dividends Declared

The following table sets forth the calculation of basic and diluted net income per share and dividends declared per share ($ in thousands, except per share data):


	Three Months Ended
	March 31, 2020			December 31, 2019
Net (loss) income (1)	$	(53,350	)	$	78,931
Weighted-average shares outstanding, basic and diluted		135,619,264			134,832,323

Net (loss) income per share, basic and diluted	$	(0.39	)	$	0.59

Dividends declared per share	$	0.62		$	0.62

(1)

Represents net (loss) income attributable to Blackstone Mortgage Trust.

Core Earnings

Core Earnings is a

non-GAAP

measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise included in GAAP net income (loss), and excluding (i)

non-cash

equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), (iv) net income (loss) attributable to our legacy portfolio, and (v) certain

non-cash

items. Core Earnings may also be adjusted from time to time to exclude

one-time

events pursuant to changes in GAAP and certain other

non-cash

charges as determined by our Manager, subject to approval by a majority of our independent directors. During the three months ended March 31, 2020, we recorded a $122.7 million increase in current expected credit loss, or CECL, reserve, which has been excluded from Core Earnings consistent with other unrealized gains (losses) pursuant to our existing policy for reporting Core Earnings and the terms of the management agreement between our Manager and us.

We believe that Core Earnings provides meaningful information to consider in addition to our net income and cash flow from operating activities determined in accordance with GAAP. This adjusted measure helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations. Although, according to the management agreement between our Manager and us, or our Management Agreement, we calculate the incentive and base management fees due to our Manager using Core Earnings before our incentive fee expense, we report Core Earnings after incentive fee expense, as we believe this is a more meaningful presentation of the economic performance of our class A common stock.

Core Earnings does not represent net income or cash generated from operating activities and should not be considered as an alternative to GAAP net income, or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Core Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Core Earnings may not be comparable to the Core Earnings reported by other companies.

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The following table provides a reconciliation of Core Earnings to GAAP net income ($ in thousands, except per share data):


	Three Months Ended
	March 31, 2020			December 31, 2019
Net (loss) income (1)	$	(53,350	)	$	78,931
Increase in current expected credit loss reserve		122,702			—
Non-cash compensation expense		8,678			7,380
Hedging and foreign currency income, net (2)		8,467			4,767
Other items		596			68
Increase attributable to non-controlling interests		(561	)		—

Core Earnings	$	86,532		$	91,146

Weighted-average shares outstanding, basic and diluted		135,619,264			134,832,323

Core Earnings per share, basic and diluted	$	0.64		$	0.68


	(1)			Represents net (loss) income attributable to Blackstone Mortgage Trust.
	(2)			Primarily represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR. These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S. dollar terms. These amounts are not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements.

Book Value Per Share

The following table calculates our book value per share ($ in thousands, except per share data):


	March 31, 2020		December 31, 2019
Stockholders’ equity	$	3,650,920	$	3,762,583
Shares
Class A common stock		135,355,320		135,003,662
Deferred stock units		268,049		260,066

Total outstanding		135,623,369		135,263,728

Book value per share	$	26.92	$	27.82

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II. Loan Portfolio

During the quarter ended March 31, 2020, we originated or acquired $1.3 billion of loans. Loan fundings during the quarter totaled $1.0 billion, including $29.0 million of

non-consolidated

senior interests. Loan repayments during the quarter totaled $567.4 million. We generated interest income of $204.9 million and incurred interest expense of $104.2 million during the quarter, which resulted in $100.6 million of net interest income during the three months ended March 31, 2020.

Portfolio Overview

The following table details our loan origination activity ($ in thousands):


	Three Months Ended			Three Months Ended
	March 31, 2020			December 31, 2019
Loan originations (1)	$	1,299,939		$	3,005,921
Loan fundings (2)	$	1,000,344		$	3,596,836
Loan repayments		(567,352	)		(2,234,719	)

Total net fundings	$	432,992		$	1,362,117


	(1)			Includes new loan originations and additional commitments made under existing loans.
	(2)			Loan fundings during the three months ended March 31, 2020 and December 31, 2019 include $29.0 million and $26.1 million, respectively, of additional fundings under related non-consolidated senior interests.

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The following table details overall statistics for our investment portfolio as of March 31, 2020 ($ in thousands):


				Total Investment Exposure
	Balance Sheet Portfolio (1)			Loan Exposure (1)(2)			Other Investments (3)			Total Investment Portfolio
Number of investments		132			132			1			133
Principal balance	$	16,468,767		$	17,161,035		$	880,730		$	18,041,765
Net book value	$	16,250,914		$	16,250,914		$	76,936		$	16,327,850
Unfunded loan commitments (4)	$	3,905,323		$	4,905,459		$	—		$	4,905,459
Weighted-average cash coupon (5)		L + 3.16	%		L + 3.22	%		L + 2.75	%		L + 3.19	%
Weighted-average all-in yield (5)		L + 3.51	%		L + 3.56	%		L + 3.03	%		L + 3.54	%
Weighted-average maximum maturity (years) (6)		3.7			3.7			5.2			3.8
Loan to value (LTV) (7)		64.4	%		64.5	%		42.6	%		63.4	%


(1)		Excludes investment exposure to the $84.2 million subordinate risk retention interest we own in the $880.7 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.
(2)		In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million of such non-consolidated senior interests that are not included in our balance sheet portfolio.
(3)		Includes investment exposure to the $880.7 million 2018 Single Asset Securitization. We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements, and instead reflect our $84.2 million subordinate risk retention investment as a component of other assets on our consolidated balance sheet. Refer to Notes 4 and 15 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.
(4)		Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date.
(5)		The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2020, 97% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $11.4 billion of such loans earned interest based on floors that are above the applicable index. The other 3% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2020, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.
(6)		Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of March 31, 2020, 56% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 44% were open to repayment by the borrower without penalty.
(7)		Based on LTV as of the dates loans and other investments were originated or acquired by us.

The following table details the floating benchmark rates for our investment portfolio as of March 31, 2020 ($/

€

/£/A$/C$ in thousands):


Investment Count		Currency	Total Investment Portfolio		Floating Rate Index	Cash Coupon (1)	All-in Yield (1)
	106	$	$	12,537,017	USD LIBOR	L + 3.13%	L + 3.49%
	8	€	€	2,790,508	EURIBOR	E + 2.89%	E + 3.22%
	13	£	£	1,637,449	GBP LIBOR	L + 3.90%	L + 4.19%
	3	A$	A$	522,776	BBSY	BBSY + 4.01%	BBSY + 4.22%
	3	C$	C$	101,687	CDOR	CDOR + 3.64%	CDOR + 3.97%

	133		$	18,041,765		INDEX + 3.19%	INDEX + 3.54%

(1)

The cash coupon and

all-in

yield of our fixed rate loans are reflected as a spread over USD LIBOR for purposes of the weighted-averages. In addition to cash coupon,

all-in

yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

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The charts below detail the geographic distribution and types of properties securing our investment portfolio, as of March 31, 2020:

Refer to section VI of this Item 2 for details of our loan portfolio, on a

loan-by-loan

basis.

Portfolio Management

Our loan portfolio is 100% performing with no loan impairments, loan defaults, or

non-accrual

loans as of March 31, 2020. Further, all interest payments due in April 2020 were paid across our loan portfolio, including with respect to loans collateralized by hospitality assets, which we believe demonstrates the strength of our loan portfolio and the commitment and financial wherewithal of our borrowers, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized sponsors.

We maintain a robust asset management relationship with our borrowers and have utilized these relationships to address the potential impacts of the

COVID-19

pandemic on our loans secured by properties experiencing cash flow pressure, most significantly hospitality assets. Some of our borrowers have indicated that due to the impact of the

COVID-19

pandemic, they will be unable to timely execute their business plans, have had to temporarily close their businesses, or have experienced other negative business consequences and have requested temporary interest deferral or forbearance, or other modifications of their loans. Accordingly, discussions we have had with our borrowers have addressed potential near-term defensive loan modifications, which could include repurposing of reserves, temporary deferrals of interest, or performance test or covenant waivers on loans collateralized by assets directly impacted by the

COVID-19

pandemic, and which would generally be coupled with an additional equity commitment and/or guaranty from sponsors.

While no loan modifications of this nature have been closed to date, we are encouraged by the tone of these conversations and our borrowers’ initial response to the

COVID-19

pandemic’s impacts on their properties. We believe our loan sponsors are generally committed to supporting assets collateralizing our loans through additional equity investments, and that we will benefit from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our portfolio’s low origination weighted-average LTV of 63.4% as of March 31, 2020 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments.

Our Manager’s portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from its position as part of Blackstone’s real estate platform. Blackstone Real Estate is one of the largest owners and operators of real estate in the world, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.

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As discussed in Note 2 to our consolidated financial statements, our Manager performs a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk. The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of March 31, 2020 and December 31, 2019, respectively. The increase in the risk rating was primarily the result of $3.1 billion aggregate principal amount of loans that were downgraded to a risk rating of “4” to reflect the higher risk in loans collateralized by hospitality and select other asset classes that are particularly negatively impacted by the

COVID-19

pandemic. The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands):


	March 31, 2020
Risk Rating	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)
1		5	$	353,112		$	354,879
2		26		3,095,443			3,115,300
3		85		9,659,154			10,416,291
4		16		3,255,899			3,274,565
5		—		—			—

Loans receivable		132	$	16,363,608		$	17,161,035

CECL reserve				(112,694	)

Loans receivable, net			$	16,250,914


(1)		In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 to our consolidated financial statements for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million of such non-consolidated senior interests as of March 31, 2020.
(2)		Excludes investment exposure to the $880.7 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

Current Expected Credit Loss Reserve

The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets. Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

Our initial CECL reserve of $17.7 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2020, we recorded a $122.7 million increase in expected credit loss reserve, bringing our total CECL reserve to $140.4 million as of March 31, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio. Further, this reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the

COVID-19

pandemic. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Multifamily Joint Venture

As of March 31, 2020, our Multifamily Joint Venture held $731.4 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture.

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Portfolio Financing

Of our $12.3 billion of portfolio financing, $2.9 billion includes securitized debt obligations and

non-consolidated

senior interests, which are both inherently

non-mark

to market,

non-recourse,

and term-matched to the financed assets, and we have $9.4 billion of borrowings under our credit facilities.

The following table details our portfolio financing ($ in thousands):


	Portfolio Financing
	Outstanding Principal Balance
	March 31, 2020		December 31, 2019
Secured credit facilities	$	9,019,652	$	9,753,059
Asset-specific financings		347,618		330,879
Revolving credit agreement		—		—
Non-consolidated senior interests (1)		692,268		688,521
Securitized debt obligations		2,253,008		1,189,642

Total portfolio financing	$	12,312,546	$	11,962,101


(1)		These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

Secured Credit Facilities

The following table details our secured credit facilities ($ in thousands):


	March 31, 2020
	Credit Facility Borrowings						Collateral
Lender	Potential (1)		Outstanding		Available (1)		Assets (2)
Deutsche Bank	$	1,958,510	$	1,870,556	$	87,954	$	2,494,270
Barclays		1,618,795		1,529,553		89,242		2,023,495
Wells Fargo		1,492,906		1,464,938		27,968		1,928,798
Citibank		919,790		875,416		44,374		1,178,568
Goldman Sachs		555,612		555,612		—		727,728
Bank of America		538,473		443,473		95,000		749,127
Morgan Stanley		493,208		438,202		55,006		670,544
MetLife		434,131		434,131		—		545,573
JP Morgan		401,865		357,639		44,226		509,766
US Bank - Multi. JV (3)		281,872		279,552		2,320		352,340
Goldman Sachs - Multi. JV (3)		240,263		240,263		—		306,367
Société Générale		236,698		236,698		—		300,386
Santander		235,447		235,447		—		298,865
Bank of America - Multi. JV (3)		58,172		58,172		—		72,715

	$ 9,465,742		$ 9,019,652		$ 446,090		$ 12,158,542


(1)		Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.
(2)		Represents the principal balance of the collateral assets.
(3)		These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture.

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Asset-Specific Financings

The following table details our asset-specific financings ($ in thousands):


	March 31, 2020
Asset-Specific Financings	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Guarantee (2)		Wtd. Avg. Term (3)
Collateral assets	4	$	445,917	$	434,409		L+4.90	%		n/a		Mar. 2023
Financing provided	4	$	347,618	$	340,407		L+3.42	%	$	95,721		Mar. 2023



(1)		These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.
(2)		Other than amounts guaranteed on asset-by-asset basis, borrowings under our asset-specific financings are non-recourse to us.
(3)		The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific financings is term-matched to the corresponding collateral loans.

Revolving Credit Agreement

Non-Consolidated

Senior Interests

In certain instances, we finance our loans through the

non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements. These

non-consolidated

senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. The following table details the subordinate interests retained on our balance sheet and the related

non-consolidated

senior interests as of March 31, 2020 ($ in thousands):

March 31, 2020

Non-Consolidated

Senior Interests

Count

Principal

Balance

Book

Value

Wtd. Avg.

Yield/Cost

(1)

Guarantee

Wtd. Avg.

Term

Total loan

860,746

n/a

5.80

n/a

Dec. 2023

Senior participation

692,268

n/a

4.41

n/a

Dec. 2023



(1)		Our floating rate loans and related liabilities were indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, all-in yield/cost includes the amortization of deferred fees / financing costs.

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Securitized Debt Obligations

The following table details our securitized debt obligations ($ in thousands):


	March 31, 2020
		Principal		Book		Wtd. Avg.
Securitized Debt Obligations	Count	Balance		Value		Yield/Cost (1)			Term (2)
2020 Collateralized Loan Obligation
Collateral assets	34	$	1,500,000	$	1,500,000		L+3.22	%		December 2023
Financing provided	1		1,243,125		1,231,186		L+1.47	%		February 2038
2017 Collateralized Loan Obligation
Collateral assets	16		717,763		717,763		L+3.35	%		January 2023
Financing provided	1		535,263		533,857		L+1.82	%		June 2035
2017 Single Asset Securitization
Collateral assets (3)	1		716,884		716,240		L+3.60	%		June 2023
Financing provided	1		474,620		474,597		L+1.63	%		June 2033
Total
Collateral assets	51	$	2,934,647	$	2,934,003		L+3.36	%

Financing provided (4)	3	$	2,253,008	$	2,239,640		L+1.59	%



(1)		In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.
(2)		Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.
(3)		The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(4)		During the three months ended March 31, 2020, we recorded $12.0 million of interest expense related to our securitized debt obligations.

Refer to Notes 6 and 15 to our consolidated financial statements for additional details of our securitized debt obligations.

Corporate Financing

Secured Term Loan

As of March 31, 2020, the following Secured Term Loan was outstanding ($ in thousands):

Term Loan Issuance

Face Value

Interest Rate

All-in

Cost

(1)

Maturity

Term Loan B

745,006

L+2.25

L+2.52

April 23, 2026



(1)		Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loan.

Refer to Notes 2 and 7 to our consolidated financial statements for additional discussion of our Secured Term Loan.

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Convertible Notes

As of March 31, 2020, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):


Convertible Notes Issuance	Face Value		Coupon Rate			All-in Cost (1)			Maturity
May 2017	$	402,500		4.38	%		4.85	%		May 5, 2022
March 2018	$	220,000		4.75	%		5.33	%		March 15, 2023



(1)		Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.

Refer to Notes 2 and 8 to our consolidated financial statements for additional discussion of our Convertible Notes.

Floating Rate Portfolio

Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income. As of March 31, 2020, 97% of our loans by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate loans. As of March 31, 2020, the remaining 3% of our loans by total loan exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing. In certain instances where we have financed fixed rate assets with floating rate liabilities, we have purchased interest rate swaps or caps to limit our exposure to increases in interest rates on such liabilities.

Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities. The following table details our loan portfolio’s net exposure to interest rates by currency as of March 31, 2020 ($/

€

/£/A$/C$ in thousands):


	USD			EUR			GBP			AUD			CAD
Floating rate loans (1)	$	11,656,287		€	2,790,508		£	1,268,072		A$	522,776		C$	54,738
Floating rate debt (1)(2)(3)		(8,904,263	)		(2,175,406	)		(874,118	)		(388,102	)		(59,986	)

Net floating rate exposure (4)	$	2,752,024		€	615,102		£	393,954		A$	134,674		C$	(5,248	)



(1)		Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate.
(2)		Includes borrowings under secured debt agreements, non-consolidated senior interests, securitized debt obligations, and secured term loans.
(3)		Balance includes two interest rate swaps totaling C$17.3 million ($12.3 million as of March 31, 2020) that are used to hedge a portion of our fixed rate debt.
(4)		In addition, we have one interest rate cap of C$21.4 million ($15.2 million as of March 31, 2020) to limit our exposure to increases in interest rates.

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III. Our Results of Operations

Operating Results

The following table sets forth information regarding our consolidated results of operations ($ in thousands, except per share data):


	Three Months Ended						2020 vs.
	March 31,						2019
	2020			2019			$
Income from loans and other investments
Interest and related income	$	204,875		$	224,759		$	(19,884	)
Less: Interest and related expenses		104,239			118,688			(14,449	)

Income from loans and other investments, net		100,636			106,071			(5,435	)
Other expenses
Management and incentive fees		19,277			19,790			(513	)
General and administrative expenses		11,791			9,313			2,478

Total other expenses		31,068			29,103			1,965
Increase in current expected credit loss reserve		(122,702	)		—			(122,702	)

(Loss) income before income taxes		(53,134	)		76,968			(130,102	)
Income tax provision		149			101			48

Net (loss) income		(53,283	)		76,867			(130,150	)

Net income attributable to non-controlling interests		(67	)		(302	)		235

Net (loss) income attributable to Blackstone Mortgage Trust, Inc.	$	(53,350	)	$	76,565		$	(129,915	)

Net (loss) income per share - basic and diluted	$	(0.39	)	$	0.62		$	(1.01	)
Dividends declared per share	$	0.62		$	0.62		$	—

Income from loans and other investments, net

Income from loans and other investments, net decreased $5.4 million during the three months ended March 31, 2020 compared to the corresponding period in 2019. The decrease was primarily due to (i) a decrease in LIBOR and (ii) an increase in the weighted-average principal balance of our outstanding financing arrangements, which increased by $1.4 billion during the three months ended March 31, 2020, as compared to the corresponding period in 2019. This was offset by an increase in the weighted-average principal balance of our loan portfolio, which increased by $1.7 billion during the three months ended March 31, 2020, as compared to the corresponding period in 2019.

Other expenses

Other expenses are composed of management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by $2.0 million during the three months ended March 31, 2020 compared to the corresponding period in 2019 due to (i) an increase of $1.6 million of general operating expenses, (ii) an increase of $1.4 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of our class A common stock during 2019, and (iii) $911,000 of additional

non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans. This is offset by a decrease of $2.0 million of incentive fees payable to our Manager as a result of a decrease in Core Earnings.

Increase in current expected credit loss reserve

During the three months ended March 31, 2020, we recorded a $122.7 million increase in expected credit loss reserve, bringing our total CECL reserve to $140.4 million as of March 31, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to

non-controlling

interests

During the three months ended March 31, 2020 and 2019, we recorded $67,000 and $302,000, respectively, of net income attributable to

non-controlling

interests related to our Multifamily Joint Venture.

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Dividends per share

During the three months ended March 31, 2020, we declared a dividend of $0.62 per share, or $83.9 million in aggregate, which was paid on April 15, 2020 to common stockholders of record as of March 31, 2020. During the three months ended March 31, 2019, we declared a dividend of $0.62 per share, or $77.9 million in aggregate.

IV. Liquidity and Capital Resources

Capitalization

We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, borrowings under secured debt agreements, and the issuance of secured term loans and issuance and sale of convertible notes. As of March 31, 2020, our balance sheet included $1.4 billion of corporate debt and $12.3 billion of asset-level financing. No portion of our corporate debt matures before 2022 and our asset-specific financing is generally term-matched or matures in 2022 or later. Of our $12.3 billion of asset-level financing, $2.9 billion includes securitized debt obligations and senior syndications, which are both inherently

non-recourse,

non-mark

to market, and term-matched to the financed assets, and we have $9.4 billion of borrowings under our credit facilities.

Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and are limited to collateral-specific credit marks generally determined on a commercially reasonable basis. We have not experienced any margin calls to date under any of our credit facilities, however, given the breadth of the

COVID-19

pandemic and the resulting uncertainty of its economic impact, we are focused on strengthening our financing arrangements and we have proactively entered into discussions to reduce the advance rate on certain assets within these facilities, and therefore the amount we are able to borrow against such assets, to mitigate the risk of future margin calls as well.

We are in frequent, consistent dialogue with the providers of our secured credit facilities regarding our management of their collateral assets in light of the impacts of the

COVID-19

pandemic. Our Manager’s robust,

in-house

asset management team has extensive experience managing loans throughout cycles, and maintains a rated special servicer as part of its broader real estate debt investment and asset management platform. The feedback we have received from our lenders indicates that they believe our Manager, as part of the broader Blackstone Real Estate platform, has a superior capability to manage the loans in our portfolio to a successful resolution.

See Notes 5, 6, 7, and 8 to our consolidated financial statements for additional details regarding our secured debt agreements, securitized debt obligations, Secured Term Loan, and Convertible Notes, respectively.

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Debt-to-Equity

Ratio and Total Leverage Ratio

The following table presents our

debt-to-equity

ratio and total leverage ratio:


	March 31, 2020		December 31, 2019
Debt-to-equity ratio (1)		2.8x		3.0x
Total leverage ratio (2)		3.9x		3.7x


(1)		Represents (i) total outstanding secured debt agreements, secured term loans, and convertible notes, less cash, to (ii) total equity, in each case at period end.
(2)		Represents (i) total outstanding secured debt agreements, secured term loans, convertible notes, non-consolidated senior interests, and securitized debt obligations, less cash, to (ii) total equity, in each case at period end.

Sources of Liquidity

Our current sources of liquidity include cash and cash equivalents, available borrowings under our secured debt agreements, and net receivables from servicers related to loan repayments, which are set forth in the following table ($ in thousands):


	March 31, 2020		December 31, 2019
Cash and cash equivalents	$	355,018	$	150,090
Available borrowings under secured debt agreements		480,273		598,840
Loan principal payments held by servicer, net (1)		656		1,965

	$	835,947	$	750,895


(1)		Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle, net of the related secured debt balance.

Typically, loan repayments are our largest source of incremental liquidity. For the year ended December 31, 2019, loan repayments generated $998.2 million of liquidity, net of any related financings. Similarly, through April 24, 2020, loan repayments generated $139.6 million of liquidity. We currently expect the pace of loan prepayments will slow while the impacts of the COVID-19 pandemic are ongoing, however, as of April 24, 2020, our portfolio does include $3.4 billion of loans with a final maturity date earlier than December 31, 2022.

During the three months ended March 31, 2020, we generated cash flow from operating activities of $68.6 million. We expect, however, that the impact of the COVID-19 pandemic will put pressure on our cash flow from operations as we enter into loan modifications on certain of our loans permitting interest payments to be capitalized, and as we repay borrowings under our secured credit facilities. In addition, we are able to generate incremental liquidity through the replenishment provisions of our 2020 CLO, which allow us to replace a loan in the CLO that has been repaid by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

We are focused on fortifying our balance sheet and enhancing our liquidity to best position us to weather near-term market uncertainty, satisfy our loan future funding and financing obligations and to potentially make opportunistic new investments, which will cause us to take some or all of the following actions: raise capital from offerings of securities, borrow additional capital, sell assets, pay our management and incentive fees in shares of our class A common stock (as will be done for the quarter ended March 31, 2020), and /or change our dividend practice, including by reducing the amount of, or temporarily suspending, our future dividends or paying our future dividends in kind for some period of time.

We have access to liquidity through public offerings of debt and equity securities. To facilitate such offerings, in July 2019, we filed a shelf registration statement with the Securities and Exchange Commission, or the SEC, that is effective for a term of three years and expires at the end of July 2022. The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue. The securities covered by this registration statement include: (i) class A common stock; (ii) preferred stock; (iii) debt securities; (iv) depositary shares representing preferred stock; (v) warrants; (vi) subscription rights; (vii) purchase contracts; and (viii) units consisting of one or more of such securities or any combination of these securities. The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described in detail in a prospectus supplement, or other offering materials, at the time of any offering.

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We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,993,699 shares of class A common stock were available for issuance as of March 31, 2020, and our

at-the-market

stock offering program, pursuant to which we may sell, from time to time, up to $363.8 million of additional shares of our class A common stock as of March 31, 2020. Refer to Note 10 to our consolidated financial statements for additional details.

Liquidity Needs

In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $9.4 billion of outstanding borrowings under secured debt agreements, our Secured Term Loan, and our Convertible Notes.

In addition, we had aggregate unfunded loan commitments of $3.9 billion as of March 31, 2020. We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 79.0% for such financed loans, resulting in identified financing for $2.4 billion of our aggregate unfunded loan commitments as of March 31, 2020. Some of our lenders, including substantially all of our financing of construction loans, are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations. We expect to fund our loan commitments over the tenor of these loans, which have a weighted-average future funding period of 4.0 years. Our future loan fundings comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and will vary depending on the progress of capital projects, leasing, and cash flows at the assets underlying our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. As a result of the COVID-19 pandemic, the progress of capital expenditures, construction, and leasing is anticipated to be slower than otherwise expected, and the pace of future funding relating to these capital needs may be commensurately slower.

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Contractual Obligations and Commitments

Our contractual obligations and commitments as of March 31, 2020 were as follows ($ in thousands):


			Payment Timing
	Total		Less Than		1 to 3		3 to 5		More Than
	Obligation		1 Year		Years		Years		5 Years
Unfunded loan commitments (1)	$	3,905,323	$	162,077	$	615,039	$	2,056,230	$	1,071,977
Principal repayments under secured debt agreements (2)		9,367,270		172,926		2,803,500		6,145,210		245,634
Principal repayments of secured term loans (3)		745,006		5,616		16,847		14,975		707,568
Principal repayments of convertible notes (4)		622,500		—		622,500		—		—
Interest payments (2)(5)		992,963		298,542		477,169		189,839		27,413

Total (6)	$	15,633,062	$	639,161	$	4,535,055	$	8,406,254	$	2,052,592


(1)		The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the final loan maturity date, however we may be obligated to fund these commitments earlier than such date.
(2)		The allocation of repayments under our secured debt agreements for both principal and interest payments is based on the earlier of (i) the maturity date of each facility, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.
(3)		The Secured Term Loan is partially amortizing, with an amount equal to 1.0% per annum of the principal balance due in quarterly installments. Refer to Note 7 to our consolidated financial statements for further details on our secured term loan.
(4)		Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium. Refer to Note 8 to our consolidated financial statements for further details on our convertible notes.
(5)		Represents interest payments on our secured debt agreements, convertible notes, and Secured Term Loan. Future interest payment obligations are estimated assuming the interest rates in effect as of March 31, 2020 will remain constant into the future. This is only an estimate as actual amounts borrowed and interest rates will vary over time.
(6)		Total does not include $692.3 million of non-consolidated senior interests and $2.3 billion of securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

We are also required to settle our interest rate swaps with our derivative counterparties upon maturity which, depending on interest rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. During the three months ended March 31, 2020, we terminated all of our outstanding foreign currency forward contracts, with aggregate notional amounts of

€

552.1 million, £365.5 million, A$134.8 million, and C$23.7 million, which we previously used to hedge our net exposure to the capital we have invested in such currencies against fluctuations in foreign exchange rates and currency exchange rates. The termination of these hedges resulted in the receipt of $68.5 million of cash from our hedge counterparties, which represents incremental liquidity to us. Our exposure to these currencies continues to be reduced by our local-currency borrowings investments denominated in currencies other than the U.S. dollar. Refer to Note 9 to our consolidated financial statements for details regarding our derivative contracts.

We are required to pay our Manager a base management fee, an incentive fee, and reimbursements for certain expenses pursuant to our Management Agreement. The table above does not include the amounts payable to our Manager under our Management Agreement as they are not fixed and determinable. Refer to Note 11 to our consolidated financial statements for additional terms and details of the fees payable under our Management Agreement.

As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code. Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Core Earnings as described above.

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Cash Flows

The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):


	Three Months Ended March 31,
	2020			2019
Cash flows provided by operating activities	$	68,617		$	77,572
Cash flows used in investing activities		(249,266	)		(333,446	)
Cash flows provided by financing activities		389,077			229,678

Net increase (decrease) in cash and cash equivalents	$	208,428		$	(26,196	)

We experienced a net increase in cash and cash equivalents of $208.4 million for the three months ended March 31, 2020, compared to a net decrease of $26.2 million for the three months ended March 31, 2019. During the three months ended March 31, 2020, we (i) received $1.2 billion of proceeds from the issuance of collateralized loan obligations and (ii) received $621.0 million from loan principal collections. We used the proceeds from these activities to (i) fund $971.3 million of new loans and (ii) repay a net $569.7 million under our secured debt agreements.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Note 5 to our consolidated financial statements for additional discussion of our secured debt agreements.

V. Other Items

Income Taxes

Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of March 31, 2020 and December 31, 2019, we were in compliance with all REIT requirements.

Refer to Note 12 to our consolidated financial statements for additional discussion of our income taxes.

Off-Balance

Sheet Arrangements

We have no

off-balance

sheet arrangements.

Critical Accounting Policies

Our discussion and analysis of our financial condition and results of operations is based upon our consolidated financial statements, which have been prepared in accordance with GAAP. The preparation of these financial statements requires our Manager to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expenses, and related disclosure of contingent assets and liabilities. Actual results could differ from these estimates. There have been no material changes to our Critical Accounting Policies described in our annual report on Form

10-K

filed with the SEC on February 11, 2020, other than a supplement to the accounting policy for our current expected credit loss reserve. Refer to Note 2 to our consolidated financial statements for further description of the accounting policy for our current expected credit loss reserve and our other significant accounting policies.

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VI. Loan Portfolio Details

The following table provides details of our loan portfolio, on a

loan-by-loan

basis, as of March 31, 2020 ($ in millions):


	Loan Type (1)	Origination Date (2)	Total Loan (3)(4)		Principal Balance (4)		Net Book Value		Cash Coupon (5)		All-in Yield (5)		Maximum Maturity (6)	Location	Property Type	Loan Per SQFT / Unit / Key	LTV (2)		Risk Rating
1	Senior loan	8/14/2019	$	1,309.0	$	1,309.0	$	1,298.1		L + 2.50%		L + 2.85%	12/23/2024	Dublin - IE	Office	$451 / sqft		74%	3
2	Senior loan	3/22/2018		962.2		962.2		958.6		L + 3.15%		L + 3.37%	3/15/2023	Diversified - Spain	Mixed-Use	n/a		71%	4
3	Senior loan	5/11/2017		752.6		716.9		716.2		L + 3.40%		L + 3.60%	6/10/2023	Washington DC	Office	$351 / sqft		62%	3
4	Senior loan	11/25/2019		724.2		615.6		615.0		L + 2.30%		L + 2.75%	12/9/2024	New York	Office	$882 / sqft		65%	3
5	Senior loan (4)	8/6/2015		458.8		458.8		83.5		5.75%		5.77%	10/29/2022	Diversified - EUR	Other	n/a		71%	3
6	Senior loan	4/11/2018		355.0		344.5		344.5		L + 2.85%		L + 3.02%	5/1/2023	New York	Office	$437 / sqft		71%	2
7	Senior loan	8/22/2018		362.5		340.8		339.2		L + 3.15%		L + 3.49%	8/9/2023	Maui	Hospitality	$442,661 / key		61%	4
8	Senior loan	10/23/2018		352.4		337.9		336.9		L + 3.40%		L + 3.72%	10/23/2021	New York	Mixed-Use	$572 / sqft		65%	3
9	Senior loan	1/11/2019		298.2		298.2		294.7		L + 4.35%		L + 4.70%	1/11/2026	Diversified - UK	Other	$295 / sqft		66%	4
10	Senior loan	11/30/2018		292.9		279.8		278.1		L + 2.85%		L + 3.20%	12/9/2023	New York	Hospitality	$299,941 / key		73%	4
11	Senior loan	2/27/2020		300.0		266.9		264.2		L + 2.70%		L + 3.03%	3/9/2025	New York	Mixed-Use	$837 / sqft		59%	3
12	Senior loan	12/11/2018		310.0		249.3		247.3		L + 2.55%		L + 2.96%	12/9/2023	Chicago	Office	$210 / sqft		78%	3
13	Senior loan	7/31/2018		284.5		248.0		246.4		L + 3.10%		L + 3.54%	8/9/2022	San Francisco	Office	$622 / sqft		50%	2
14	Senior loan	11/30/2018		253.9		247.7		246.2		L + 2.80%		L + 3.17%	12/9/2023	San Francisco	Hospitality	$363,659 / key		73%	4
15	Senior loan	5/9/2018		242.9		232.9		232.4		L + 2.60%		L + 3.03%	5/9/2023	New York	Industrial	$66 / sqft		70%	2
16	Senior loan	9/23/2019		275.8		226.7		224.2		L + 3.00%		L + 3.22%	11/15/2024	Diversified - Spain	Hospitality	$121,063 / key		62%	4
17	Senior loan	4/17/2018		225.0		219.1		219.1		L + 3.25%		L + 3.84%	5/9/2023	New York	Office	$204 / sqft		45%	2
18	Senior loan	10/23/2018		278.4		214.1		212.7		L + 2.65%		L + 2.87%	11/9/2024	Atlanta	Office	$199 / sqft		64%	2
19	Senior loan	7/20/2017		250.0		213.7		212.8		L + 4.80%		L + 5.71%	8/9/2022	San Francisco	Office	$355 / sqft		58%	2
20	Senior loan	6/23/2015		210.5		210.5		210.4		L + 3.65%		L + 3.78%	5/8/2022	Washington DC	Office	$236 / sqft		72%	2
21	Senior loan	9/30/2019		304.9		206.1		206.3		L + 3.66%		L + 3.75%	9/9/2024	Chicago	Office	$179 / sqft		58%	3
22	Senior loan	12/12/2019		260.5		196.8		195.7		L + 2.40%		L + 2.68%	12/9/2024	New York	Office	$94 / sqft		42%	1
23	Senior loan	8/31/2017		203.0		193.1		192.6		L + 2.50%		L + 2.75%	9/9/2023	Orange County	Office	$225 / sqft		64%	3
24	Senior loan	6/4/2018		190.0		190.0		189.3		L + 3.50%		L + 3.86%	6/9/2024	New York	Hospitality	$313,015 / key		52%	4
25	Senior loan	12/22/2016		204.5		188.6		188.5		L + 2.90%		L + 2.98%	12/9/2022	New York	Office	$265 / sqft		64%	3
26	Senior loan	6/27/2019		211.5		185.5		183.8		L + 2.80%		L + 3.16%	8/15/2026	Berlin - DEU	Office	$398 / sqft		62%	3
27	Senior loan	4/9/2018		1,486.5		185.0		173.1		L + 8.50%		L + 10.64%	6/9/2025	New York	Office	$525 / sqft		48%	2
28	Senior loan (4)	8/7/2019		745.8		201.2		37.9		L + 3.12%		L + 3.49%	9/9/2025	Los Angeles	Office	$228 / sqft		59%	3
29	Senior loan	9/25/2019		182.8		182.8		181.4		L + 4.35%		L + 4.93%	9/26/2023	London - UK	Office	$833 / sqft		72%	3
30	Senior loan	11/5/2019		213.6		180.6		178.6		L + 3.85%		L + 4.45%	2/21/2025	Diversified - IT	Industrial	$357 / sqft		66%	3

continued…

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	Loan Type (1)	Origination Date (2)	Total Loan (3)(4)		Principal Balance (4)		Net Book Value		Cash Coupon (5)		All-in Yield (5)		Maximum Maturity (6)	Location	Property Type	Loan Per SQFT / Unit / Key	LTV (2)		Risk Rating
31	Senior loan	11/23/2018		184.7		180.2		178.7		L + 2.62%		L + 2.87%	2/15/2024	Diversified - UK	Office	$1,093 / sqft		50%	3
32	Senior loan	4/3/2018		178.6		177.1		176.6		L + 2.75%		L + 3.08%	4/9/2024	Dallas	Mixed-Use	$502 / sqft		64%	3
33	Senior loan	9/26/2019		175.0		175.0		174.1		L + 3.10%		L + 3.54%	1/9/2023	New York	Office	$256 / sqft		65%	3
34	Senior loan	12/21/2017		197.5		157.6		157.1		L + 2.65%		L + 3.06%	1/9/2023	Atlanta	Office	$118 / sqft		51%	2
35	Senior loan	9/4/2018		172.7		155.8		154.9		L + 3.00%		L + 3.39%	9/9/2023	Las Vegas	Hospitality	$188,647 / key		70%	4
36	Senior loan	9/14/2018		154.6		154.6		153.8		L + 3.50%		L + 3.85%	9/14/2023	Canberra - AU	Mixed-Use	$401 / sqft		68%	3
37	Senior loan	8/23/2017		165.0		152.5		152.2		L + 3.25%		L + 3.58%	10/9/2022	Los Angeles	Office	$309 / sqft		74%	2
38	Senior loan	12/6/2019		142.8		142.8		141.6		L + 2.80%		L + 3.31%	12/5/2024	London - UK	Office	$946 / sqft		75%	3
39	Senior loan	12/20/2019		139.5		139.5		138.2		L + 3.10%		L + 3.32%	12/18/2026	London - UK	Office	$694 / sqft		75%	3
40	Senior loan	5/11/2017		135.9		135.1		135.0		L + 3.40%		L + 3.91%	6/10/2023	Washington DC	Office	$310 / sqft		38%	2
41	Senior loan	11/14/2017		133.0		133.0		132.7		L + 2.75%		L + 3.00%	6/9/2023	Los Angeles	Hospitality	$532,000 / key		56%	3
42	Senior loan	1/17/2020		203.0		130.3		128.8		L + 2.75%		L + 3.07%	2/9/2025	New York	Mixed-Use	$108 / sqft		43%	3
43	Senior loan	9/5/2019		198.5		126.3		124.4		L + 2.75%		L + 3.17%	9/9/2024	New York	Office	$788 / sqft		62%	3
44	Senior loan (4)	11/22/2019		470.0		131.4		25.4		L + 3.70%		L + 4.22%	12/9/2025	Los Angeles	Office	$222 / sqft		69%	3
45	Senior loan	12/14/2018		135.6		122.1		121.6		L + 2.90%		L + 3.27%	1/9/2024	Diversified - US	Industrial	$49 / sqft		57%	3
46	Senior loan	11/27/2019		146.3		121.0		119.7		L + 2.75%		L + 3.13%	12/9/2024	Minneapolis	Office	$121 / sqft		64%	3
47	Senior loan	11/16/2018		211.9		119.0		117.3		L + 4.10%		L + 4.67%	12/9/2023	Fort Lauderdale	Mixed-Use	$335 / sqft		59%	3
48	Senior loan	6/28/2019		125.0		117.2		116.7		L + 2.75%		L + 2.91%	2/1/2024	Los Angeles	Office	$591 / sqft		48%	3
49	Senior loan	3/10/2020		140.0		114.4		114.0		L + 2.50%		L + 2.67%	1/9/2025	New York	Mixed-Use	$74 / sqft		53%	3
50	Senior loan	9/20/2018		113.2		113.2		113.0		L + 4.00%		L + 4.06%	8/16/2023	Diversified - AU	Other	$776 / sqft		53%	3
51	Senior loan	4/30/2018		159.2		112.8		111.7		L + 3.25%		L + 3.51%	4/30/2023	London - UK	Office	$507 / sqft		60%	3
52	Senior loan	7/15/2019		144.6		112.5		111.5		L + 2.90%		L + 3.25%	8/9/2024	Houston	Office	$204 / sqft		58%	3
53	Senior loan	6/28/2019		181.3		112.2		110.4		L + 3.70%		L + 4.33%	6/27/2024	London - UK	Office	$366 / sqft		71%	3
54	Senior loan	3/21/2018		113.2		108.3		107.9		L + 3.10%		L + 3.36%	3/21/2024	Jacksonville	Office	$108 / sqft		72%	2
55	Senior loan	10/16/2018		113.7		104.7		104.2		L + 3.25%		L + 3.57%	11/9/2023	San Francisco	Hospitality	$228,212 / key		72%	4
56	Senior loan	10/17/2016		104.4		104.4		104.4		L + 3.95%		L + 3.96%	10/21/2021	Diversified - UK	Self-Storage	$143 / sqft		73%	3
57	Senior loan	12/21/2018		123.1		104.0		103.2		L + 2.60%		L + 3.00%	2/13/2023	Chicago	Office	$203 / key		72%	2
58	Senior loan	3/13/2018		123.0		103.6		103.0		L + 3.00%		L + 3.27%	4/9/2025	Honolulu	Hospitality	$160,580 / key		50%	3
59	Senior loan	12/19/2018		106.7		103.0		102.8		L + 2.60%		L + 2.94%	12/9/2022	Chicago	Multi	$556,723 / unit		66%	2
60	Senior loan	4/25/2019		210.0		101.1		100.1		L + 3.50%		L + 3.76%	9/1/2025	Los Angeles	Office	$439 / sqft		73%	3

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	Loan Type (1)	Origination Date (2)	Total Loan (3)(4)		Principal Balance (4)		Net Book Value		Cash Coupon (5)		All-in Yield (5)		Maximum Maturity (6)	Location	Property Type	Loan Per SQFT / Unit / Key	LTV (2)		Risk Rating
61	Senior loan	5/16/2014		100.0		100.0		99.9		L + 3.85%		L + 4.11%	4/9/2022	Miami	Office	$215 / sqft		67%	3
62	Senior loan	3/31/2020		117.6		96.0		94.8		L + 2.40%		L + 2.78%	3/31/2025	Diversified - NL	Multi	$117,174 / unit		65%	3
63	Senior loan	11/30/2018		151.1		95.0		94.2		L + 2.55%		L + 2.80%	12/9/2024	Washington DC	Office	$271 / sqft		60%	3
64	Senior loan	12/23/2019		109.7		93.2		92.3		L + 2.70%		L + 3.03%	1/9/2025	Miami	Multi	$322,491 / unit		68%	3
65	Senior loan	4/12/2018		103.1		90.7		90.4		L + 2.75%		L + 3.06%	5/9/2023	San Francisco	Office	$237 / sqft		72%	2
66	Senior loan	3/28/2019		98.4		90.4		90.2		L + 3.25%		L + 3.40%	1/9/2024	New York	Hospitality	$233,706 / key		63%	4
67	Senior loan	6/1/2018		125.4		90.3		89.5		L + 3.40%		L + 3.75%	5/28/2023	London - UK	Office	$612 / sqft		70%	1
68	Senior loan	2/18/2015		87.7		87.7		87.6		L + 3.75%		L + 4.21%	4/9/2020	Diversified - CA	Office	$181 / sqft		71%	3
69	Senior loan	12/10/2018		110.3		86.9		86.0		L + 2.95%		L + 3.34%	12/3/2024	London - UK	Office	$415 / sqft		72%	3
70	Senior loan	8/18/2017		85.8		85.8		85.6		L + 4.10%		L + 4.80%	8/18/2022	Brussels - BE	Office	$133 / sqft		59%	2
71	Senior loan	3/31/2017		96.9		85.1		85.2		L + 4.30%		L + 4.70%	4/9/2022	New York	Office	$418 / sqft		64%	3
72	Senior loan	11/22/2019		85.0		85.0		84.6		L + 2.99%		L + 3.27%	12/1/2024	San Jose	Multi	$317,164 / unit		62%	3
73	Senior loan	6/18/2019		90.0		85.0		84.3		L + 3.15%		L + 3.52%	7/9/2024	Napa Valley	Hospitality	$890,052 / key		74%	4
74	Senior loan	6/29/2016		83.4		79.7		79.7		L + 2.80%		L + 3.28%	7/9/2021	Miami	Office	$307 / sqft		64%	2
75	Senior loan	2/20/2019		126.1		72.9		71.6		L + 3.25%		L + 3.89%	2/19/2024	London - UK	Office	$358 / sqft		61%	3
76	Senior loan	10/17/2018		80.4		71.4		71.2		L + 2.60%		L + 3.03%	11/9/2023	San Francisco	Office	$445 / sqft		68%	3
77	Senior loan	7/26/2018		84.1		71.1		71.0		L + 2.75%		L + 2.85%	7/1/2024	Columbus	Multi	$66,984 / unit		69%	3
78	Senior loan	6/27/2019		84.0		70.0		69.6		L + 2.50%		L + 2.77%	7/9/2024	West Palm Beach	Office	$481 / sqft		70%	3
79	Senior loan	1/30/2020		104.4		66.7		65.8		L + 2.85%		L + 3.22%	2/9/2026	Honolulu	Hospitality	$214,341 / key		63%	4
80	Senior loan	4/5/2018		85.3		65.9		65.6		L + 3.10%		L + 3.51%	4/9/2023	Diversified - US	Industrial	$24 / sqft		54%	3
81	Senior loan	8/22/2019		74.3		65.0		64.4		L + 2.55%		L + 2.93%	9/9/2024	Los Angeles	Office	$389 / sqft		63%	3
82	Senior loan (4)	9/22/2017		91.0		69.4		17.3		L + 5.28%		L + 6.63%	10/9/2022	San Francisco	Multi	$446,078 / unit		46%	3
83	Senior loan	6/29/2017		64.2		63.4		63.2		L + 3.40%		L + 3.65%	7/9/2023	New York	Multi	$184,768 / unit		69%	4
84	Senior loan	11/30/2016		65.2		56.7		56.6		L + 3.10%		L + 3.32%	12/9/2021	Chicago	Retail	$1,167 / sqft		54%	4
85	Senior loan	10/6/2017		55.9		55.8		55.7		L + 2.95%		L + 3.21%	10/9/2022	Nashville	Multi	$99,598 / unit		74%	2
86	Senior loan	8/16/2019		54.3		54.3		54.1		L + 2.75%		L + 2.95%	9/1/2022	Sarasota	Multi	$238,158 / unit		76%	3
87	Senior loan	11/23/2016		53.6		53.6		53.5		L + 3.50%		L + 3.80%	12/9/2022	New York	Multi	$223,254 / unit		65%	4
88	Senior loan	3/11/2014		52.8		52.8		52.8		L + 1.84%		L + 1.85%	4/9/2021	New York	Multi	$593,109 / unit		65%	4
89	Senior loan	10/5/2018		52.7		52.7		52.4		L + 5.50%		L + 5.65%	10/5/2021	Sydney - AU	Office	$560 / sqft		78%	3
90	Senior loan	6/26/2019		66.1		51.9		51.3		L + 3.35%		L + 3.66%	6/20/2024	London - UK	Office	$586 / sqft		61%	3

continued…

Table of Contents


	Loan Type (1)	Origination Date (2)	Total Loan (3)(4)		Principal Balance (4)		Net Book Value		Cash Coupon (5)		All-in Yield (5)		Maximum Maturity (6)	Location	Property Type	Loan Per SQFT / Unit / Key	LTV (2)		Risk Rating
91	Senior loan	6/12/2019		55.0		48.3		48.2		L + 3.25%		L + 3.37%	7/1/2022	Grand Rapids	Multi	$92,529 / unit		69%	3
92	Senior loan	10/31/2018		63.3		48.0		47.8		L + 5.00%		L + 5.64%	11/9/2023	New York	Multi	$249,489 / unit		61%	3
93	Senior loan	10/31/2018		57.3		47.4		47.3		L + 5.00%		L + 6.01%	11/9/2023	New York	Condo	$399 / sqft		64%	3
94	Senior loan	8/14/2019		70.3		47.3		46.7		L + 2.45%		L + 2.87%	9/9/2024	Los Angeles	Office	$509 / sqft		57%	3
95	Senior loan	5/24/2018		81.3		46.0		45.6		L + 4.10%		L + 4.59%	6/9/2023	Boston	Office	$89 / sqft		55%	3
96	Senior loan	9/25/2018		49.3		45.0		44.8		L + 3.50%		L + 3.79%	9/1/2023	Chicago	Multi	$61,202 / unit		70%	3
97	Senior loan	11/3/2017		45.0		44.0		44.0		L + 3.00%		L + 3.08%	11/1/2022	Los Angeles	Office	$205 / sqft		50%	1
98	Senior loan	2/21/2020		43.8		43.8		43.5		L + 3.25%		L + 3.58%	3/1/2025	Atlanta	Multi	$137,304 / unit		68%	3
99	Senior loan	8/29/2017		51.2		43.5		43.4		L + 3.10%		L + 3.52%	10/9/2022	Southern California	Industrial	$91 / sqft		65%	3
100	Senior loan	6/26/2015		41.6		40.9		40.8		L + 3.75%		L + 3.94%	7/9/2020	San Diego	Office	$187 / sqft		73%	3
101	Senior loan	12/27/2016		39.5		39.5		39.4		L + 3.10%		L + 3.45%	1/9/2022	New York	Multi	$784,286 / unit		64%	3
102	Senior loan	2/20/2019		47.6		37.5		37.2		L + 3.50%		L + 3.91%	3/9/2024	Calgary - CAN	Office	$103 / sqft		52%	3
103	Senior loan	11/30/2018		40.0		37.3		37.3		L + 2.95%		L + 3.38%	12/1/2023	Las Vegas	Multi	$77,810 / unit		70%	2
104	Senior loan	10/31/2019		33.9		33.0		32.9		L + 3.25%		L + 3.34%	11/1/2024	Raleigh	Multi	$162,626 / unit		52%	3
105	Senior loan	12/13/2019		80.0		32.4		31.5		L + 3.55%		L + 4.49%	6/12/2024	Diversified - FR	Industrial	$23 / sqft		55%	3
106	Senior loan	10/31/2019		31.5		31.1		31.0		L + 3.25%		L + 3.33%	11/1/2024	Atlanta	Multi	$163,666 / unit		60%	3
107	Senior loan	8/14/2019		31.0		31.0		30.9		L + 5.00%		L + 6.02%	8/14/2020	Orangeburg	Other	$150 / sqft		36%	3
108	Senior loan	12/3/2019		30.3		30.3		30.3		L + 2.75%		L + 3.20%	3/1/2021	Pensacola	Multi	$117,500 / unit		50%	2
109	Senior loan	6/26/2019		30.0		30.0		30.0		L + 3.25%		L + 3.65%	10/1/2020	Lake Charles	Multi	$111,940 / unit		73%	3
110	Senior loan	10/31/2019		30.2		29.4		29.3		L + 3.25%		L + 3.33%	11/1/2024	Austin	Multi	$155,582 / unit		52%	3
111	Senior loan	5/31/2019		29.3		29.3		29.3		L + 3.75%		L + 3.75%	6/1/2021	Denver	Multi	$195,333 / unit		59%	2
112	Senior loan	8/30/2018		28.7		27.7		27.6		L + 3.00%		L + 3.42%	9/1/2022	Boise	Multi	$108,887 / unit		73%	3
113	Senior loan	10/31/2019		27.2		26.9		26.8		L + 3.25%		L + 3.32%	11/1/2024	Austin	Multi	$133,636 / unit		53%	3
114	Senior loan	12/15/2017		22.5		22.5		22.5		L + 3.50%		L + 3.50%	12/9/2020	Diversified - US	Hospitality	$340,809 / key		50%	3
115	Senior loan	3/24/2020		22.0		22.0		22.0		L + 3.25%		L + 3.26%	10/1/2021	San Jose	Multi	$400,000 / unit		58%	3
116	Senior loan	2/26/2020		20.4		20.4		20.3		L + 2.80%		L + 3.27%	3/1/2021	Atlanta	Multi	$85,356 / unit		36%	3
117	Senior loan	6/15/2018		22.0		20.4		20.5		L + 3.35%		L + 3.79%	7/1/2022	Phoenix	Multi	$71,430 / unit		78%	3
118	Senior loan	12/23/2019		26.2		20.0		19.8		L + 2.85%		L + 3.21%	1/9/2025	Miami	Office	$337 / sqft		68%	3
119	Senior loan	4/26/2019		20.0		20.0		19.9		L + 2.93%		L + 3.38%	5/1/2024	Nashville	Multi	$198,020 / unit		73%	2
120	Senior loan	12/21/2018		22.9		20.0		19.9		L + 3.25%		L + 3.48%	1/1/2024	Daytona Beach	Multi	$74,627 / unit		77%	3

continued…

Table of Contents


	Loan Type (1)	Origination Date (2)	Total Loan (3)(4)		Principal Balance (4)		Net Book Value			Cash Coupon (5)		All-in Yield (5)		Maximum Maturity (6)	Location	Property Type	Loan Per SQFT / Unit / Key	LTV (2)		Risk Rating
121	Senior loan	3/8/2017		19.5		19.5		19.5			4.84% (7)		5.18% (7)	12/23/2021	Montreal - CAN	Office	$53 / sqft		45%	2
122	Senior loan	3/30/2016		15.3		15.3		15.4			5.15%		5.27%	9/4/2020	Diversified - CAN	Self-Storage	$3,332 / unit		56%	1
123	Senior loan	10/20/2017		17.2		15.1		15.0			L + 4.25%		L + 4.35%	11/1/2021	Houston	Multi	$119,444 / unit		56%	3
124	Senior loan	6/21/2019		14.8		14.5		14.4			L + 3.30%		L + 3.41%	7/1/2022	Portland	Multi	$130,180 / unit		66%	2
125	Senior loan	5/22/2014		14.0		14.0		14.0			L + 2.90%		L + 3.06%	6/15/2021	Orange County	Office	$32 / sqft		74%	2
126	Senior loan	4/30/2019		15.5		13.9		13.8			L + 3.00%		L + 3.32%	5/1/2024	Houston	Multi	$44,848 / unit		78%	3
127	Senior loan	2/28/2019		15.3		13.8		13.7			L + 3.00%		L + 3.33%	3/1/2024	San Antonio	Multi	$59,800 / unit		75%	3
128	Senior loan	5/30/2018		10.1		10.1		10.1			L + 3.90%		L + 3.97%	6/1/2021	Phoenix	Multi	$112,222 / unit		74%	3
129	Senior loan	10/31/2018		10.0		10.0		10.0			L + 3.35%		L + 3.58%	11/1/2020	Boise	Multi	$156,250 / unit		74%	2
130	Senior loan	9/1/2016		8.5		8.5		8.6			L + 4.20%		L + 4.38%	9/1/2022	Atlanta	Multi	$78,696 / unit		72%	1
131	Senior loan (4)	3/23/2020		348.6		0.0		(1.1	)		L + 3.75%		L + 4.82%	1/9/2025	Nashville	Mixed-Use	$66 / sqft		78%	3
132	Senior loan	10/1/2019		341.7		0.0		(3.4	)		L + 3.75%		L + 4.21%	10/9/2025	Atlanta	Mixed-Use	$505 / sqft		70%	3
	CECL reserve							(112.7	)

	Loans receivable, net		$	22,066.5		$17,161.0	$	16,250.9			L + 3.22%		L + 3.56%	3.7 yrs					64%	3.0



(1)		Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans and pari passu participations in senior mortgage loans.
(2)		Date loan was originated or acquired by us, and the LTV as of such date. Origination dates are subsequently updated to reflect material loan modifications.
(3)		Total loan amount reflects outstanding principal balance as well as any related unfunded loan commitment.
(4)		In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. As of March 31, 2020, five loans in our portfolio have been financed with an aggregate $692.3 million of non-consolidated senior interest, which are included in the table above. Portfolio excludes our $84.2 million subordinate risk retention interest in the $880.7 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for details of the 2018 Single Asset Securitization.
(5)		The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2020, 97% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $11.4 billion of such loans earned interest based on floors that are above the applicable index. The other 3% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2020, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.
(6)		Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date.
(7)		Loan consists of one or more floating and fixed rate tranches. Coupon and all-in yield assume applicable floating benchmark rates for weighted-average calculation.

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ITEM 3.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Interest Rate Risk

Loan Portfolio Net Interest Income

The following table projects the impact on our interest income and expense, net of incentive fees, for the twelve-month period following March 31, 2020, assuming an immediate increase or decrease of both 25 and 50 basis points in the applicable interest rate benchmark by currency ($ in thousands):


	Assets (Liabilities) Sensitive to Changes in Interest Rates (1)(2)				Interest Rate Sensitivity as of March 31, 2020
					Increase in Rates						Decrease in Rates
Currency					25 Basis Points			50 Basis Points			25 Basis Points			50 Basis Points
USD	$	11,656,287		Income	$	10,389		$	23,731		$	(6,366	)	$	(12,689	)
		(8,904,263	)	Expense		(16,695	)		(33,396	)		15,573			31,111

	$	2,752,024		Net interest	$	(6,306	)	$	(9,665	)	$	9,207		$	18,422

EUR	$	3,078,210		Income	$	—		$	2,912		$	—		$	—
		(2,399,691	)	Expense		—			(2,261	)		—			—

	$	678,519		Net interest	$	—		$	651		$	—		$	—

GBP	$	1,574,946		Income	$	2,489		$	5,271		$	(2,338	)	$	(4,341	)
		(1,085,655	)	Expense		(2,171	)		(4,343	)		2,171			4,343

	$	489,291		Net interest	$	318		$	928		$	(167	)	$	2

AUD	$	320,514		Income	$	—		$	—		$	—		$	—
		(237,945	)	Expense		(476	)		(952	)		476			799

	$	82,569		Net interest	$	(476	)	$	(952	)	$	476		$	799

CAD (3)	$	38,926		Income	$	3		$	6		$	(3	)	$	(6	)
		(42,658	)	Expense		(85	)		(171	)		85			171

	$	(3,732	)	Net interest	$	(82	)	$	(165	)	$	82		$	165

				Total net interest	$	(6,546	)	$	(9,203	)	$	9,598		$	19,388


(1)		Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. Increases (decreases) in interest income and expense are presented net of incentive fees. Refer to Note 11 to our consolidated financial statements for additional details of our incentive fee calculation. In addition, $11.4 billion of our loans earned interest based on floors that are above the applicable index as of March 31, 2020.
(2)		Includes amounts outstanding under secured debt agreements, non-consolidated senior interests, securitized debt obligations, and secured term loans.
(3)		Liabilities balance includes two interest rate swaps totaling C$17.3 million ($12.3 million as of March 31, 2020) that are used to hedge a portion of our fixed rate debt.

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Loan Portfolio Value

As of March 31, 2020, 3% of our loans by total loan exposure earned a fixed rate of interest and as such, the values of such loans are sensitive to changes in interest rates. We generally hold all of our loans to maturity and so do not expect to realize gains or losses on our fixed rate loan portfolio as a result of movements in market interest rates.

Risk of

Non-Performance

In addition to the risks related to fluctuations in cash flows and asset values associated with movements in interest rates, there is also the risk of

non-performance

on floating rate assets. In the case of a significant increase in interest rates, the additional debt service payments due from our borrowers may strain the operating cash flows of the collateral real estate assets and, potentially, contribute to

non-performance

or, in severe cases, default. This risk is partially mitigated by various facts we consider during our underwriting process, which in certain cases include a requirement for our borrower to purchase an interest rate cap contract.

Credit Risks

Our loans and investments are also subject to credit risk. The performance and value of our loans and investments depend upon the sponsors’ ability to operate the properties that serve as our collateral so that they produce cash flows adequate to pay interest and principal due to us. To monitor this risk, our Manager’s asset management team reviews our investment portfolios and in certain instances is in regular contact with our borrowers, monitoring performance of the collateral and enforcing our rights as necessary.

In addition, we are exposed to the risks generally associated with the commercial real estate market, including variances in occupancy rates, capitalization rates, absorption rates, and other macroeconomic factors beyond our control. We seek to manage these risks through our underwriting and asset management processes.

The

COVID-19

pandemic has significantly impacted the commercial real estate markets, causing reduced occupancy, requests from tenants for rent deferral or abatement, and delays in construction and development projects currently planned or underway. These negative conditions may persist into the future and impair our borrowers’ ability to pay principal and interest due to us under our loan agreements. We maintain a robust asset management relationship with our borrowers and have utilized these relationships to address the potential impacts of the

COVID-19

pandemic on our loans secured by properties experiencing cash flow pressure, most significantly hospitality assets. Some of our borrowers have indicated that due to the impact of the

COVID-19

pandemic, and which would typically be coupled with an additional equity commitment and/or guaranty from sponsors.

While no loan modifications of this nature have been closed to date, we are encouraged by the tone of these conversations and our borrowers’ initial response to the

COVID-19

pandemic’s impacts on their properties. We believe our loan sponsors are generally committed to supporting assets collateralizing our loans through additional equity investments, and that we will benefit from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, patient, well-funded institutional sponsors. Our portfolio’s low origination weighted-average LTV of 63.4% as of March 31, 2020 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments.

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Capital Market Risks

We are exposed to risks related to the equity capital markets, and our related ability to raise capital through the issuance of our class A common stock or other equity instruments. We are also exposed to risks related to the debt capital markets, and our related ability to finance our business through borrowings under credit facilities or other debt instruments. As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate operating cash flow and therefore requires us to utilize debt or equity capital to finance our business. We seek to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and terms of capital we raise.

The

COVID-19

pandemic has resulted in extreme volatility in a variety of global markets, including the real estate-related debt markets. U.S. financial markets, in particular, are experiencing limited liquidity and forced selling by certain market participants with insufficient liquidity available to meet current obligations has put further downward pressure on asset prices. In reaction to these tumultuous and unpredictable market conditions, banks and other lenders have generally restricted lending activity and requested margin posting or repayments where applicable for secured loans collateralized by assets with depressed valuations.

COVID-19

Counterparty Risk

The nature of our business requires us to hold our cash and cash equivalents and obtain financing from various financial institutions. This exposes us to the risk that these financial institutions may not fulfill their obligations to us under these various contractual arrangements. We mitigate this exposure by depositing our cash and cash equivalents and entering into financing agreements with high credit-quality institutions.

The nature of our loans and investments also exposes us to the risk that our counterparties do not make required interest and principal payments on scheduled due dates. We seek to manage this risk through a comprehensive credit analysis prior to making an investment and active monitoring of the asset portfolios that serve as our collateral.

Currency Risk

Our loans and investments that are denominated in a foreign currency are also subject to risks related to fluctuations in currency rates. We mitigate this exposure by matching the currency of our foreign currency assets to the currency of the borrowings that finance those assets. As a result, we substantially reduce our exposure to changes in portfolio value related to changes in foreign currency rates. During the three months ended March 31, 2020, we terminated all of our outstanding foreign currency forward contracts, with aggregate notional amounts of

€

The following table outlines our assets and liabilities that are denominated in a foreign currency (

€

/£/A$/C$ in thousands):


	March 31, 2020
Foreign currency assets (1)	€	2,805,782		£	1,641,964		A$	527,876		C$	105,396
Foreign currency liabilities (1)		(2,176,218	)		(1,179,198	)		(389,686	)		(77,348	)

Net exposure to exchange rate fluctuations	€	629,564		£	462,766		A$	138,190		C$	28,048

____________


(1)		Balances include non-consolidated senior interests of £302.0 million

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We estimate that a 10% appreciation of the United States dollar relative to the Euro, British Pound Sterling, Australian Dollar, and Canadian Dollar would result in a decline in our net assets in U.S. dollar terms of $69.4 million, $57.5 million, $8.5 million, and $2.0 million, respectively, as of March 31, 2020.

ITEM 4.

CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

An evaluation of the effectiveness of the design and operation of our “disclosure controls and procedures” (as defined in Rule

13a-15(e)

under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)), as of the end of the period covered by this quarterly report on Form

10-Q

was made under the supervision and with the participation of our management, including our Chief Executive Officer and Chief Financial Officer. Based upon this evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that our disclosure controls and procedures (a) are effective to ensure that information required to be disclosed by us in reports filed or submitted under the Exchange Act is recorded, processed, summarized and reported within the time periods specified by SEC rules and forms and (b) include, without limitation, controls and procedures designed to ensure that information required to be disclosed by us in reports filed or submitted under the Exchange Act is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Controls over Financial Reporting

There have been no changes in our “internal control over financial reporting” (as defined in Rule

13a-15(f)

of the Exchange Act) that occurred during the period covered by this quarterly report on Form

10-Q

that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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PART II. OTHER INFORMATION

ITEM 1.

LEGAL PROCEEDINGS

From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of March 31, 2020, we were not involved in any material legal proceedings.

ITEM 1A.

RISK FACTORS

For information regarding factors that could affect our results of operations, financial condition and liquidity, see the risk factors discussed in Part I, Item 1A. “Risk Factors” in our Annual Report on Form

10-K

for the year ended December 31, 2019, or Annual Report.

In light of developments relating to the

COVID-19

pandemic occurring subsequent to the filing of our Annual Report, we are supplementing the risk factors discussed in our Annual Report with the following risk factor, which should be read in conjunction with the risk factors contained in our Annual Report.

The current outbreak of the novel coronavirus, or

COVID-19,

has caused severe disruptions in the U.S. and global economy and to our business, and may have an adverse impact on our performance and results of operations.

During the first quarter of 2020, there was a global outbreak of a novel coronavirus

(“COVID-19”),

which has spread to over 200 countries and territories, including the United States, and has spread to every state in the United States. The World Health Organization has designated

COVID-19

as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to

COVID-19.

The global impact of the outbreak has been rapidly evolving, and as cases of

COVID-19

non-essential

businesses. Such actions are creating disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown.

The outbreak of

COVID-19

may have a material adverse impact on our financial condition, liquidity and results of operations and the market price of our Class A common stock, among other things. We expect that these impacts are likely to continue to some extent as the outbreak persists and potentially even longer. Although many or all facets of our business have been or could be impacted by

COVID-19,

we currently believe the following impacts to be among the most material to us:

•

COVID-19

could have a significant long-term impact on the broader economy and the commercial real estate market generally, which would negatively impact the value of the assets collateralizing our loans. Our portfolio includes loans collateralized by hotel, retail, and other asset classes which are particularly negatively impacted by the pandemic. While we believe the principal amount of our loans are generally adequately protected by underlying value, there can be no assurance that we will realize the entire principal value of certain investments.

•

We are actively engaged in discussions with our borrowers, some of whom have indicated that, due to the impact of the

COVID-19

pandemic, they have been unable to timely execute their business plans, have had to temporarily close their businesses or have experienced other negative business consequences and have requested or indicated that they will be requesting interest deferral or forbearance or other modifications of their loans. We therefore anticipate more frequent modifications of our loans and potentially instances of default or foreclosure on assets underlying our loans, which will adversely affect the credit profile of our assets and our results of operations and financial condition.

•

We have reverse purchase agreements with numerous lenders and are actively engaged in discussions around the value of pledged assets as defined in our agreements with such lenders, potential deleveraging, the application of certain provisions of such agreements to these circumstances and other structural elements under the agreements. If we do not have the funds available to make required payments, it would likely result in defaults and potential loss of assets to the lenders unless we are able to raise the funds from alternative sources, including by selling or financing assets or raising capital (“liquidity sources”), each of

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which we may be required to do under adverse market conditions or at an inopportune time or on unfavorable terms, or may be unable to do at all. COVID-19 has made it very difficult for businesses generally, including us, to access liquidity sources at terms commensurate with those prior to this pandemic, or at all. Pledging additional collateral or otherwise paying down facilities to satisfy our lenders and avoid potential margin calls and loan defaults would reduce our cash available to meet subsequent margin calls and/or future funding requests as well as make other, higher yielding investments, thereby decreasing our liquidity, return on equity, available cash, net income and ability to implement our investment strategy. If we cannot meet lender requirements related to margin calls or other terms of our credit agreements, the lender or counterparty could accelerate our indebtedness, increase the interest rate on advanced funds and terminate our ability to borrow additional funds, which would materially and adversely affect our financial condition and ability to implement our investment strategy.

•

COVID-19 likely will reduce the availability of liquidity sources, but our requirements for liquidity, including future loan funding obligations and margin calls, likely will not be commensurately reduced. If we did not have funds available to meet our obligations, we would have to raise funds from alternative sources, which may be at unfavorable terms or may not be available to us due to the impacts of COVID-19. We expect that the adverse impact of the COVID-19 pandemic will likely adversely affect our liquidity position and could limit our ability to grow our business and fully execute our business strategy. We expect to preserve and build our liquidity to best position the Company to weather near-term market uncertainty, satisfy our loan future funding and financing obligations and to potentially make opportunistic new investments, which will cause us to take some or all of the following actions: raise capital from offerings of securities, borrow additional capital, sell assets, pay our management and incentive fees in shares of our class A common stock (as will be done for the quarter ended March 31, 2020) and /or change our dividend practice, including by reducing the amount of, or temporarily suspending, our future dividends or paying our future dividends in kind for some period of time.

•

Interest rates and credit spreads have been significantly impacted since the outbreak of

COVID-19.

This can result in volatile changes to the fair value of our floating rate loans and also the interest obligations on our floating-rate debt and fair value of our fixed-rate liabilities, which could result in an increase to our interest expense.

The immediately preceding outcomes are those we consider to be most material as a result of the pandemic. We have also experienced and may experience other negative impacts to our business as a result of the pandemic that could exacerbate other risks described in our Annual Report on Form

10-K

for the year ended December 31, 2019, including:

•

lack of liquidity in certain of our assets;

•

the greater risk of loss to which we are exposed in connection with

B-notes,

mezzanine loans, and other investments that are subordinated or otherwise junior in an issuer’s capital structure and that involve privately negotiated structures;

•

risks associated with loans on properties in transition or construction;

•

risks associated with loans or investments involving assets in foreign jurisdictions, especially those experiencing difficulty;

•

impairment of our investments and harm to our operations from a prolonged economic slowdown, a lengthy or severe recession or declining real estate values;

•

foreign currency risks;

•

the concentration of our loans and investments in terms of geography, asset types and sponsors;

•

losses resulting from foreclosing on certain of the loans we originate or acquire;

•

risks associated with our investments in CMBS, CLOs, and other similar structured finance investments, including those we structure, sponsor or arrange;

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•

downgrades in credit ratings assigned to our investments;

•

investments in

non-conforming

and

non-investment

grade rated loans or securities;

•

investments in interest rate- and foreign currency-related derivative instruments;

•

the difficulty of estimating provisions for loan losses;

•

our debt under our credit facilities and our corporate debt;

•

risks associated with

non-recourse

securitizations which we use to finance our assets;

•

losses arising from current and future guarantees of debt and contingent obligations of our subsidiaries or joint venture or

co-investment

partners;

•

borrower and counterparty risks;

•

risks associated with our hedging strategies;

•

if the market value or income potential of our real estate-related investments declines, we may need to increase our real estate investments and income and/or liquidate our

non-qualifying

assets in order to maintain our REIT qualification or exclusion from regulation under the Investment Company Act of 1940, as amended;

•

operational impacts on ourselves and our third-party advisors, service providers, vendors and counterparties, including operating partners, property managers, other independent third-party appraisal firms that provide appraisals of properties collateralizing our loans, our lenders and other providers of financing, brokers and other counterparties that we purchase and sell assets to and from, derivative counterparties, and legal and diligence professionals that we rely on for acquiring our investments;

•

limitations on our ability to ensure business continuity in the event our, or our third-party advisors’ and service providers’, continuity of operations plan is not effective or improperly implemented or deployed during a disruption;

•

the availability of key personnel of the Manager and our service providers as they face changed circumstances and potential illness during the pandemic; and

•

other risks described in our Annual Report as they may be amended by our periodic filings with the SEC.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of

COVID-19

on economic and market conditions, and, as a result, present material uncertainty and risk with respect to us and the performance of our investments. The full extent of the impact and effects of

COVID-19

and the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our performance, results of operations and ability to pay distributions.

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ITEM 2.

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

None.

ITEM 3.

DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4.

MINE SAFETY DISCLOSURES

Not applicable.

ITEM 5.

OTHER INFORMATION

None.

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ITEM 6.

EXHIBITS


	10.1			Amendment No. 10 to Amended and Restated Master Repurchase and Securities Contract, dated as of November 13, 2019, between Parlex 5 Finco, LLC and Wells Fargo Bank, National Association

	10.2			Amendment No. 11 to Amended and Restated Master Repurchase and Securities Contract, dated as of December 23, 2019, between Parlex 5 Finco, LLC and Wells Fargo Bank, National Association

	10.3			Amendment No. 8 to Master Repurchase Agreement, dated as of February 19, 2020, among Parlex 1 Finance, LLC and Bank of America, N. A.

	10.4			Third Amendment, dated as of February 19, 2020, to Fourth Amended and Restated Master Repurchase Agreement, dated as of February 15, 2019, among Parlex 2 Finance, LLC, Parlex 2A Finco, LLC, Parlex 2 UK Finco, LLC, Parlex 2 Eur Finco, LLC, Parlex 2 AU Finco, LLC, Parlex 2 CAD Finco, LLC, and Citibank, N.A.

	10.5			Amendment No. 12 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2020, between Parlex 5 Finco, LLC and Wells Fargo Bank, National Association

	31.1			Certification of Chief Executive Officer, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

	31.2			Certification of Chief Financial Officer, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

	32.1 +			Certification of Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

	32.2 +			Certification of Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

	101.INS			Inline XBRL Instance Document– the instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document

	101.SCH			Inline XBRL Taxonomy Extension Schema Document

	101.CAL			Inline XBRL Taxonomy Extension Calculation Linkbase Document

	101.LAB			Inline XBRL Taxonomy Extension Label Linkbase Document

	101.PRE			Inline XBRL Taxonomy Extension Presentation Linkbase Document

	101.DEF			Inline XBRL Taxonomy Extension Definition Linkbase Document

	104			Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)

This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”) or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933, as amended (the “Securities Act”), or the Exchange Act.

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The agreements and other documents filed as exhibits to this report are not intended to provide factual information or other disclosure other than with respect to the terms of the agreements or other documents themselves, and you should not rely on them for that purpose. In particular, any representations and warranties made by us in these agreements or other documents were made solely within the specific context of the relevant agreement or document and may not describe the actual state of affairs as of the date they were made or at any other time.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


				BLACKSTONE MORTGAGE TRUST, INC.

April 28, 2020				/s/ Stephen D. Plavin
Date				Stephen D. Plavin
				Chief Executive Officer
				(Principal Executive Officer)

April 28, 2020				/s/ Anthony F. Marone, Jr.
Date				Anthony F. Marone, Jr.
				Chief Financial Officer
				(Principal Financial Officer and
				Principal Accounting Officer)

Exhibit 10.1

EXECUTION VERSION

AMENDMENT NO. 10 TO AMENDED AND RESTATED MASTER REPURCHASE

AND SECURITIES CONTRACT

AMENDMENT NO. 10 TO AMENDED AND RESTATED MASTER REPURCHASE AND SECURITIES CONTRACT, dated as of November 13, 2019 (this “Amendment”), between PARLEX 5 FINCO, LLC, a Delaware limited liability company (“Seller”) and WELLS FARGO BANK, NATIONAL ASSOCIATION, a national banking association (“Buyer”). Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Repurchase Agreement (as defined below).

RECITALS

WHEREAS, Seller and Buyer are parties to that certain Amended and Restated Master Repurchase and Securities Contract, dated as of April 4, 2014 (as amended by that certain Amendment No. 1 to Amended and Restated Master Repurchase and Securities Contract, dated as of October 23, 2014, as further amended by that certain Amendment No. 2 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2015, as further amended by that certain Amendment No. 3 to Amended and Restated Master Repurchase and Securities Contract, dated as of April 14, 2015, as further amended by that certain Amendment No. 4 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 11, 2016, as further amended by that certain Amendment No. 5 to Amended and Restated Master Repurchase and Securities Contract, dated as of June 30, 2016, as further amended by that certain Amendment No. 6 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2017, as further amended by that certain Amendment No. 7 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 31, 2017, as further amended by that certain Amendment No. 8 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2018, as further amended by that certain Amendment No. 9 to Amended and Restated Master Repurchase and Securities Contract, dated as of December 21, 2018, as amended hereby and as further amended, restated, supplemented or otherwise modified and in effect from time to time, the “Repurchase Agreement”);

WHEREAS, Seller has requested, and Buyer has agreed, to amend the Repurchase Agreement as set forth in this Amendment and Blackstone Mortgage Trust, Inc. (“Guarantor”) agrees to make the acknowledgements set forth herein.

Therefore, in consideration of the premises and for other good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, Seller and Buyer hereby agree as follows:

SECTION 1. Amendment to Repurchase Agreement.

(a) The following, new defined terms are hereby added to Article 2 of the Repurchase Agreement in correct alphabetical order:

“BHC Act Affiliate” has the meaning assigned to the term “affiliate” in, and shall be interpreted in accordance with, 12 U.S.C. § 1841(k).

“Default Right” has the meaning assigned to that term in, and shall be interpreted in accordance with, 12 C.F.R. §§ 252.81, 47.2 or 382.1, as applicable.

“Gloss Lender”: The “Lender”, as defined in the Gloss Loan Agreement.

“Gloss Facility”: The Gloss Loan Agreement and any documents related thereto.

“Gloss Loan Agreement”: That certain Master Loan and Security Agreement, dated as of November 13, 2019 (as amended, restated, supplemented or otherwise modified and in effect from time to time), by and between Gloss Finco 2, LLC and Gloss Lender.

“Gloss Repayment Obligations”: The “Repayment Obligations” as defined in the Gloss Loan Agreement.

“Kensington Buyer”: The “Buyer”, as defined in the Kensington Repurchase Agreement.

“Kensington Facility”: The Kensington Repurchase Agreement and any documents related thereto.

“Kensington Repurchase Agreement”: That certain Fourth Amended and Restated Master Repurchase and Securities Contract, dated as of June 30, 2016 (as amended, restated, supplemented or otherwise modified and in effect from time to time), by and among Kensington Buyer, Parlex 5 KEN Finco, LLC, Parlex 5 KEN UK Finco, LLC, Parlex 5 KEN CAD Finco, LLC, Parlex 5 KEN ONT Finco, LLC and Parlex 5 Ken EUR Finco, LLC.

“Kensington Repurchase Obligations”: The “Repurchase Obligations” as defined in the Kensington Repurchase Agreement.

“U.S. Special Resolution Regime” means each of (i) the Federal Deposit Insurance Act and the regulations promulgated thereunder and (ii) Title II of the Dodd-Frank Wall Street Reform and Consumer Protection Act and the regulations promulgated thereunder.

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(b) The defined terms, “Other Facility”, “Other Facility Buyer”, “Other Facility Repurchase Obligations” and “Other Repurchase Agreement”, each as set forth in Article 2 of the Repurchase Agreement, are each hereby amended and restated in their entirety to read as follows:

“Other Facility” : Collectively, the Gloss Facility and the Kensington Facility, as applicable.

“Other Facility Buyer”: Collectively, the Gloss Lender and the Kensington Buyer, as applicable.

“Other Facility Repurchase Obligations”: Collectively, the Kensington Repurchase Obligations and the Gloss Repayment Obligations, as applicable.

“Other Repurchase Agreement”: Collectively, the Kensington Repurchase Agreement and the Gloss Loan Agreement, as applicable.

(c) The penultimate sentence of Section 3.09 of the Repurchase Agreement is hereby amended and restated in its entirety to read as follows:

The Repurchase Obligations and all Other Facility Repurchase Obligations shall be full recourse to Seller, and limited recourse to Guarantor as set forth in the Guarantee Agreement, it being expressly agreed that Seller is liable to each Other Facility Buyer for all obligations of the respective sellers under each Other Repurchase Agreement, including, without limitation, the related Other Facility Repurchase Obligations.

(d) Section 5.02 of the Repurchase Agreement is hereby amended by amending and restating the existing priority sixth in its entirety to read as set forth below:

sixth, to make a payment to each Other Facility Buyer or its Affiliates on account of any other amounts then due and payable under any Other Facility (in such order of application to each Other Facility as Buyer determines in its sole discretion) pursuant to priorities first through fifth of Section 5.02 of the applicable Other Repurchase Agreement until such other amounts then due and payable pursuant to priorities first through fifth of Section 5.02 of each such Other Repurchase Agreement have been reduced to zero, each such payment to be deposited into the related Waterfall Account (as defined in the applicable Other Repurchase Agreement) and allocated in accordance with the applicable Other Repurchase Agreement; and

(e) Section 5.03 of the Repurchase Agreement is hereby amended by amending and restating the existing priority seventh in its entirety to read as set forth below:

seventh, to make a payment to each Other Facility Buyer or its Affiliates on account of any other amounts then due and payable under any Other Facility (in such order of application to each Other Facility as Buyer determines in its sole discretion) pursuant to, as applicable (A) priorities first through ninth of Section 5.03 of the Kensington Repurchase Agreement until such other amounts then due and payable pursuant to priorities first through ninth of Section 5.03 of the

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Kensington Repurchase Agreement have been reduced to zero, and (B) priorities first through sixth of Section 5.03 of the Gloss Loan Agreement until such other amounts then due and payable pursuant to priorities first through sixth of Section 5.03 of the Gloss Loan Agreement have been reduced to zero, in each case, with each such payment to be deposited into the related Waterfall Account (as defined in the applicable Other Repurchase Agreement) in accordance with the applicable Other Repurchase Agreement; and

(f) Section 5.04 of the Repurchase Agreement is hereby amended by amending and restating the existing priority sixth in its entirety to read as set forth below:

sixth, to make a payment to each Other Facility Buyer or its Affiliates on account of the Repurchase Price of all Purchased Assets (each as defined in the Kensington Repurchase Agreement) or the Repayment Amount of all Pledged Assets (each as defined in the Gloss Loan Agreement) related to each Other Repurchase Agreement and any other amounts due and owing under each such Other Facility (in such order of application to each Other Facility as Buyer determines in its sole discretion) until the Repurchase Price for such Purchased Assets (each as defined in the Kensington Repurchase Agreement) or the Repayment Amount of all Pledged Assets (each as defined in the Gloss Loan Agreement) and such other amounts due and owing have been reduced to zero, each such payment to be deposited into the related Waterfall Account (as defined in the applicable Other Repurchase Agreement) and allocated in the applicable Other Facility Buyer’s sole discretion; and

(g) Article 5 of the Repurchase Agreement is hereby amended by inserting the following new Section 5.06 at the end thereof in correct numerical order:

Section 5.06 Currency of Payments. Dollars shall be the currency of account and payment for any and all sums due from Seller under any Repurchase Document, provided, that, notwithstanding anything herein to the contrary, if on any date, any amount is due and payable under clause sixth of Sections 5.02, clause seventh of Section 5.03 or clause sixth of Section 5.04 in a currency other than Dollars, such due amounts shall be paid in the equivalent amount of such other currency by converting Income to such other currency. All such currency conversion calculations and related payments pursuant to this Section 5.06 shall be calculated by Buyer based on the applicable spot rate determined by Buyer in its reasonable discretion based upon the then-current spot rate of exchange and shall be final and binding on Seller absent manifest error.

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(h) The preamble to Article 7 of the Repurchase Agreement is hereby amended and restated in its entirety to read as follows:

Seller represents and warrants to Buyer and to each Other Facility Buyer, on and as of the date of this Agreement, each Purchase Date, and at all times when any Repurchase Document or Transaction is in full force and effect as follows:

(i) Clause (v) of Section 10.01 of the Repurchase Agreement is hereby amended and restated in its entirety to read as follows:

(v) (i) an Event of Default (as such term is defined in the Gloss Loan Agreement) has occurred and is continuing under the Gloss Facility or (ii) an Event of Default (as such term is defined in the Kensington Repurchase Agreement) has occurred and is continuing under the Kensington Facility; and

(j) Section 11.01 of the Repurchase Agreement is hereby amended and restated in its entirety to read as follows:

Section 11.01 Grant. (a) Buyer and Seller intend that the Transactions be sales to Buyer of the Purchased Assets and not loans from Buyer to Seller secured by the Purchased Assets. However, to preserve and protect Buyer’s rights with respect to the Purchased Assets and under the Repurchase Documents if any Governmental Authority recharacterizes any Transaction with respect to a Purchased Asset as other than a sale, and as security for the performance by Seller of the Repurchase Obligations and the performance by the respective sellers under each Other Repurchase Agreement of the respective Other Facility Repurchase Obligations, (i) Seller hereby grants to Buyer a present Lien on and security interest in all of the right, title and interest of Seller in, to and under (A) the Purchased Assets (which for this purpose shall be deemed to include the items described in the proviso in the definition thereof), and (B) each Interest Rate Protection Agreement with each Hedge Counterparty relating to each Purchased Asset ((A) and (B) collectively, the “Collateral”) and (ii) Seller hereby grants to each Other Facility Buyer a present Lien on and security interest in all of the right, title and interest of Seller in, to and under the Collateral; and the transfer of the Purchased Assets to Buyer shall be deemed to constitute and confirm such grant, to secure the payment and performance by Seller of the Repurchase Obligations (including the obligation of Seller to pay the Repurchase Price, or if the related Transaction is recharacterized as a loan, to repay such loan for the Repurchase Price) and the performance by the respective sellers under each Other Repurchase Agreement of the respective Other Facility Repurchase Obligations.

(b) Each Other Facility Buyer hereby acknowledges and agrees that its security interest in the Collateral as security for the Other Facility Repurchase Obligations owing to such Other Facility Buyer shall at all times be junior and subordinate in all respects to Buyer’s security interest in the Collateral as security for the Repurchase Obligations. The preceding subordination of each Other Facility Buyer’s security interest in the Collateral affects only the relative priority of each Other Facility Buyer’s security interest in the Collateral, and shall not subordinate any Other Facility Repurchase Obligations in right of payment to the Repurchase Obligations.

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(c) Buyer agrees to act as agent for and on behalf of each Other Facility Buyer (including without limitation for purposes of Sections 9-313(c), 8- 106(d)(3), 9-104(a) and 9-106(a) of the UCC) with respect to the security interest granted hereby to secure the obligations owing to each Other Facility Buyer under the related Other Facility, including, without limitation, with respect to the Purchased Assets and the Purchased Asset Files held by Custodian pursuant to the Custodial Agreement.

(k) Section 11.02 of the Repurchase Agreement is hereby amended and restated in its entirety to read as follows:

Section 11.02 Effect of Grant. If any circumstance described in Section 11.01 occurs, (a) this Agreement shall also be deemed to be a security agreement as defined in the UCC, (b) Buyer and each Other Facility Buyer shall have all of the rights and remedies provided to a secured party by Requirements of Law (including the rights and remedies of a secured party under the UCC and the right to set off any mutual debt and claim) and under any other agreement between Buyer and Seller or between any Affiliated Hedge Counterparty and Seller, (c) without limiting the generality of the foregoing, Buyer and each Other Facility Buyer shall be entitled to set off the proceeds of the liquidation of the Purchased Assets against all of the Repurchase Obligations or Other Facility Repurchase Obligations, as applicable, without prejudice to Buyer’s or any Other Facility Buyer’s right to recover any deficiency, (d) the possession by Buyer or any of its agents, including Custodian, of the Mortgage Loan Documents, the Purchased Assets and such other items of property as constitute instruments, money, negotiable documents, securities or chattel paper shall be deemed to be possession by the secured party for purposes of perfecting such security interest under the UCC and Requirements of Law, and (e) notifications to Persons (other than Buyer) holding such property, and acknowledgments, receipts or confirmations from Persons (other than Buyer) holding such property, shall be deemed notifications to, or acknowledgments, receipts or confirmations from, securities intermediaries, bailees or agents (as applicable) of the secured party for the purpose of perfecting such security interest under the UCC and Requirements of Law. The security interests of Buyer granted herein shall be, and Seller hereby represents and warrants to Buyer and all other Affiliated Hedge Counterparties that it is, a first priority perfected security interest. The security interests of the Other Facility Buyers granted herein shall be, and Seller hereby represents and warrants to Buyer and all other Affiliated Hedge Counterparties that it is, a perfected security interest subordinate in priority only to the security interests of Buyer. For the avoidance of doubt, (i) each Purchased Asset and each Interest Rate Protection Agreement relating to a Purchased Asset secures the Repurchase Obligations of Seller with respect to all other Transactions and all other Purchased Assets, including any Purchased Assets that are junior in priority to the Purchased Asset in question, and the Other Facility Repurchase Obligations, and (ii) if an Event of Default has occurred and is continuing, no Purchased Asset or Interest Rate Protection Agreement relating to a Purchased Asset will be released from Buyer’s or any Other Facility Buyer’s Lien or transferred to Seller until the Repurchase Obligations and all Other Facility Repurchase Obligations are indefeasibly paid in full. Notwithstanding the foregoing, the Repurchase Obligations and all Other Facility Repurchase Obligations shall be full recourse to Seller.

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(l) Section 14.01(b) of the Repurchase Agreement is hereby amended and restated in its entirety to read as follows:

“(b) the Guarantee Agreement, the Pledge and Security Agreement and Seller’s grant to Buyer and each Other Facility Buyer of a security interest in the Collateral pursuant to Article 11 each constitute a security agreement or arrangement or other credit enhancement within the meaning of Section 101 of the Code related to a “securities contract” as defined in Section 741(7)(A)(xi) of the Bankruptcy Code and a “repurchase agreement” as that term is defined in Section 101(47)(A)(v) of the Bankruptcy Code,”

(m) Sections 18.27 of the Repurchase Agreement is hereby amended and restated in its entirety to read as follows:

Section 18.27 Joint and Several Obligations.

(a) Seller hereby acknowledges and agrees that (i) Seller shall be jointly and severally liable with the sellers under each Other Repurchase Agreement to Buyer to the maximum extent permitted by Requirements of Law for all Repurchase Obligations and all Other Facility Repurchase Obligations, (ii) the liability of Seller (A) shall be absolute and unconditional and shall remain in full force and effect (or be reinstated) until all Repurchase Obligations and all Other Facility Repurchase Obligations shall have been paid in full and the expiration of any applicable preference or similar period pursuant to any Insolvency Law, or at law or in equity, without any claim having been made before the expiration of such period asserting an interest in all or any part of any payment(s) received by Buyer, and (B) until such payment has been made, shall not be discharged, affected, modified or impaired on the occurrence from time to time of any event, including any of the following, whether or not with notice to or the consent of Seller, (1) the waiver, compromise, settlement, release, modification, supplementation, termination or amendment (including any extension or postponement of the time for payment or performance or renewal or refinancing) of any of the Repurchase Obligations, Repurchase Documents, any Other Facility Repurchase Obligations or “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement), (2) the failure to give notice to Seller of the occurrence of an Event of Default, (3) the release, substitution or exchange by Buyer of any Purchased Asset or “Purchased Asset” (as defined in the Kensington Repurchase Agreement) or “Pledged Asset” (as defined in the Gloss Loan Agreement) (whether with or without consideration) or the acceptance by Buyer of any additional collateral or the availability or claimed availability of any other collateral or source of repayment or any nonperfection or other impairment of collateral, (4) the release of any Person primarily or secondarily liable for all or any part of the Repurchase Obligations or any Other Facility Repurchase

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Obligations, whether by Buyer or in connection with any Insolvency Proceeding affecting Seller, any seller under the Other Repurchase Agreement, or any other Person who, or any of whose property, shall at the time in question be obligated in respect of the Repurchase Obligations, any Other Facility Repurchase Obligations or any part thereof, (5) the sale, exchange, waiver, surrender or release of any Purchased Asset, “Purchased Asset” (as defined in the Kensington Repurchase Agreement), guarantee or other collateral by Buyer, “Pledged Asset” (as defined in the Gloss Loan Agreement), (6) the failure of Buyer to protect, secure, perfect or insure any Lien at any time held by Buyer as security for amounts owed by Seller or any seller under the Other Repurchase Agreement, or (7) to the extent permitted by Requirements of Law, any other event, occurrence, action or circumstance that would, in the absence of this Section 18.27, result in the release or discharge Seller from the performance or observance of any Repurchase Obligation or any seller from the performance or observance of any Other Facility Repurchase Obligation, (iii) Buyer shall not be required first to initiate any suit or to exhaust its remedies against Seller, any seller under the Other Repurchase Agreement or any other Person to become liable, or against any of the Purchased Assets or “Purchased Assets” (as defined in the Kensington Repurchase Agreement) or “Pledged Assets” (as defined in the Gloss Loan Agreement), in order to enforce the Repurchase Documents and the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement) and Seller expressly agrees that, notwithstanding the occurrence of any of the foregoing, Seller shall be and remain directly and primarily liable for all sums due under any of the Repurchase Documents and the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement), (iv) when making any demand hereunder against Seller or any of the Purchased Assets, Buyer may, but shall be under no obligation to, make a similar demand on any seller under the Other Repurchase Agreement, or otherwise pursue such rights and remedies as it may have against any seller under the Other Repurchase Agreement or any other Person or against any collateral security or guarantee related thereto or any right of offset with respect thereto, and any failure by Buyer to make any such demand, file suit or otherwise pursue such other rights or remedies or to collect any payments from any such other seller or any such other Person or to realize upon any such collateral security or guarantee or to exercise any such right of offset, or any release of any such other seller or any such other Person or any such collateral security, guarantee or right of offset, shall not relieve Seller if a demand or collection is not made and shall not release Seller of its obligations or liabilities hereunder, and shall not impair or affect the rights and remedies, express or implied, or as a matter of law, of Buyer against Seller (as used herein, the term “demand” shall include the commencement and continuation of legal proceedings), (v) on disposition by Buyer of any property encumbered by any Purchased Assets or “Purchased Assets” (as defined in the Kensington Repurchase Agreement) or “Pledged Assets” (as defined in the Gloss Loan Agreement), Seller shall be and shall remain jointly and severally liable for any deficiency, (vi) Seller waives (A) any and all notice of the creation, renewal,

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extension or accrual of any amounts at any time owing to Buyer by any other seller under the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement) and notice of or proof of reliance by Buyer upon Seller or acceptance of the obligations of Seller under this Section 18.27, and all such amounts, and any of them, shall conclusively be deemed to have been created, contracted or incurred, or renewed, extended, amended or waived, in reliance upon the obligations of Seller under this Agreement, and all dealings between Seller, on the one hand, and Buyer, on the other hand, likewise shall be conclusively presumed to have been had or consummated in reliance upon the obligations of Seller under this Agreement and the Other Repurchase Agreement, and (B) diligence, presentment, protest, demand for payment and notice of default or nonpayment to or upon Seller with respect to any amounts at any time owing to Buyer by Seller under the Repurchase Documents or any other seller under the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement), and (vii) Seller shall continue to be liable under this Section 18.27 without regard to (A) the validity, regularity or enforceability of any other provision of this Agreement, the Other Repurchase Agreement, any other Repurchase Document or any other “Repurchase Document” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement), any amounts at any time owing to Buyer by Seller under the Repurchase Documents or any seller under the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement), or any other collateral security therefor or guarantee or right of offset with respect thereto at any time or from time to time held by Buyer, (B) any defense, set off or counterclaim (other than a defense of payment or performance) which may at any time be available to or be asserted by Seller against Buyer, or (iii) any other circumstance whatsoever (with or without notice to or knowledge of Seller) which constitutes, or might be construed to constitute, an equitable or legal discharge of Seller for any amounts owing to Buyer by Seller under the Repurchase Documents, or of any seller under the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement), in bankruptcy or in any other instance.

(b) Seller shall remain fully obligated under this Agreement notwithstanding that, without any reservation of rights against Seller and without notice to or further assent by Seller, any demand by Buyer for payment of any amounts owing to Buyer by any other seller under the “Repurchase Documents” (as defined in any Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement) may be rescinded by Buyer and any the payment of any such amounts may be continued, and the liability of any other party upon or for any part thereof, or any collateral security or guarantee therefor or right of offset with respect thereto, may, from time to time, in whole or in part, be renewed, extended, amended, modified, accelerated, compromised, waived, surrendered or released by Buyer (including any extension or postponement of the time for payment or performance or renewal or

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refinancing of any Other Facility Repurchase Obligation), and this Agreement, the Other Repurchase Agreements, the Repurchase Documents, the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement) and any other documents executed and delivered in connection therewith may be amended, modified, supplemented or terminated, in whole or in part, in accordance with its terms, as Buyer may deem advisable from time to time, and any collateral security, guarantee or right of offset at any time held by Buyer for the payment of amounts owing to Buyer by Seller under the Repurchase Documents or any seller under the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement) may be sold, exchanged, waived, surrendered or released. Buyer shall not have any obligation to protect, secure, perfect or insure any Lien at any time held by it as security for amounts owing to Buyer by Seller under the Repurchase Documents or by sellers under the “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement), or any property subject thereto.

(c) The Repurchase Obligations and all Other Facility Repurchase Obligations are full recourse obligations to Seller, and Seller hereby forever waives, demises, acquits and discharges any and all defenses, and shall at no time assert or allege any defense, to the contrary.

(d) Anything herein or in any other Repurchase Document to the contrary notwithstanding, the maximum liability of Seller hereunder in respect of the liabilities of the sellers under each Other Repurchase Agreement and the other “Repurchase Documents” (as defined in the Kensington Repurchase Agreement) or the “Facility Documents” (as defined in the Gloss Loan Agreement) shall in no event exceed the amount which can be guaranteed by Seller under applicable federal and state laws relating to the insolvency of debtors.

(n) Article 18 of the Repurchase Agreement is hereby amended by inserting the following new Section 18.28 in correct numerical order:

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Section 18.28 Recognition of the U.S. Special Resolution Regimes.

(a) In the event that Buyer becomes subject to a proceeding under a U.S. Special Resolution Regime, the transfer from Buyer of this Agreement and/or the Repurchase Documents, and any interest and obligation in or under this Agreement and/or the Repurchase Documents, will be effective to the same extent as the transfer would be effective under the U.S. Special Resolution Regime if this Agreement and/or the Repurchase Documents, and any such interest and obligation, were governed by the laws of the United States or a state of the United States.

(b) In the event that Buyer or a BHC Act Affiliate of Buyer becomes subject to a proceeding under a U.S. Special Resolution Regime, Default Rights under this Agreement and/or the Repurchase Documents that may be exercised against Buyer are permitted to be exercised to no greater extent than such Default Rights could be exercised under the U.S. Special Resolution Regime if this Agreement and/or the Repurchase Documents were governed by the laws of the United States or a state of the United States.

(c) If, at any time, each of the parties hereto has adhered to the ISDA 2018 U.S. Resolution Stay Protocol (the “ISDA U.S. Stay Protocol”), the terms of the ISDA U.S. Stay Protocol will supersede and replace the foregoing terms set forth in this Section 18.28 as of the first date on which all parties hereto have so adhered, and thereafter this Section 18.28 only will be null and void with no further force or effect.

SECTION 2. Amendment Effective Date. This Amendment and its provisions shall become effective on the date first set forth above (the “Amendment Effective Date”), which is the date that this Amendment was executed and delivered by a duly authorized officer of each of Seller, Buyer and Guarantor, along with the delivery of bring down letters affirming the opinions as to corporate and enforceability matters provided to Buyer on the Closing Date, each dated as of the Amendment Effective Date.

SECTION 3. Representations, Warranties and Covenants. Seller hereby represents and warrants to Buyer, as of the Amendment Effective Date, that (i) it is in full compliance with all of the terms and provisions and its undertakings and obligations set forth in the Repurchase Agreement and each other Repurchase Document to which it is a party on its part to be observed or performed, and (ii) no Default or Event of Default has occurred or is continuing. Seller hereby confirms and reaffirms its representations, warranties and covenants contained in each Repurchase Document to which it is a party.

SECTION 4. Acknowledgments of Guarantor. Guarantor hereby acknowledges (a) the execution and delivery of this Amendment and agrees that it continues to be bound by that certain Guarantee Agreement, dated as of March 13, 2014 (the “Guarantee Agreement”), made by Guarantor in favor of Buyer, notwithstanding the execution and delivery of this Amendment and the impact of the changes set forth herein, and (b) that, as of the date hereof Buyer is in compliance with its undertakings and obligations under the Repurchase Agreement, the Guarantee Agreement and each of the other Repurchase Documents.

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SECTION 5. Limited Effect. Except as expressly amended and modified by this Amendment, the Repurchase Agreement and each of the other Repurchase Documents shall continue to be, and shall remain, in full force and effect in accordance with their respective terms; provided, however, that upon the Amendment Effective Date, each (x) reference therein and herein to the “Repurchase Documents” shall be deemed to include, in any event, this Amendment, (y) each reference to the “Repurchase Agreement” in any of the Repurchase Documents shall be deemed to be a reference to the Repurchase Agreement, as amended hereby, and (z) each reference in the Repurchase Agreement to “this Agreement”, this “Repurchase Agreement”, this “Amended and Restated Repurchase Agreement”, “hereof”, “herein” or words of similar effect in referring to the Repurchase Agreement shall be deemed to be references to the Repurchase Agreement, as amended by this Amendment.

SECTION 6. No Novation, Effect of Agreement. Seller and Buyer have entered into this Amendment solely to amend the terms of the Repurchase Agreement and do not intend this Amendment or the transactions contemplated hereby to be, and this Amendment and the transactions contemplated hereby shall not be construed to be, a novation of any of the obligations owing by Seller, Guarantor or Pledgor (the “Repurchase Parties”) under or in connection with the Repurchase Agreement, the Fee Letter, the Pledge and Security Agreement or any of the other Repurchase Documents to which any Repurchase Party is a party. It is the intention of each of the parties hereto that (i) the perfection and priority of all security interests securing the payment of the Repurchase Obligations of the Repurchase Parties under the Repurchase Agreement and the Pledge and Security Agreement are preserved, (ii) the liens and security interests granted under the Repurchase Agreement and the Pledge and Security Agreement continue in full force and effect, and (iii) any reference to the Repurchase Agreement in any such Repurchase Document shall be deemed to also reference this Amendment.

SECTION 7. Counterparts. This Amendment may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument. Delivery of an executed counterpart of a signature page to this Amendment in Portable Document Format (PDF) or by facsimile transmission shall be effective as delivery of a manually executed original counterpart thereof.

SECTION 8. Expenses. Seller and Guarantor agree to pay and reimburse Buyer for all out-of-pocket costs and expenses incurred by Buyer in connection with the preparation, execution and delivery of this Amendment, including, without limitation, the fees and disbursements of Cadwalader, Wickersham & Taft LLP, counsel to Buyer

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OF THE STATE OF NEW YORK, WITHOUT REGARD TO THE CHOICE OF LAW RULES THEREOF. THE PARTIES HERETO INTEND THAT THE PROVISIONS OF SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW SHALL APPLY TO THIS AMENDMENT.

[SIGNATURES FOLLOW]

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IN WITNESS WHEREOF, the parties hereto have caused this Amendment to be duly executed and delivered as of the day and year first above written.


SELLER: PARLEX 5 FINCO, LLC, a Delaware limited liability company

By:		/s/ Douglas N. Armer
		Name: Douglas N. Armer
		Title: Executive Vice President, Capital Markets, and Treasurer

[Signature Page to Amendment No. 10 to Amended and Restated Master Repurchase and Securities Contract]


BUYER: WELLS FARGO BANK, N.A., a national banking association

By:		/s/ Allen Lewis
		Name: Allen Lewis
		Title: Managing Director

KENSINGTON BUYER:

In its capacity as an Other Facility Buyer, and solely for purposes of acknowledging and agreeing to Section 11.01(b) of the Repurchase Agreement, as amended hereby:

WELLS FARGO BANK, NATIONAL ASSOCIATION, a national banking association

By:		/s/ Allen Lewis
		Name: Allen Lewis
		Title: Managing Director

[Signature Page to Amendment No. 10 to Amended and Restated Master Repurchase and Securities Contract]


GLOSS LENDER: In its capacity as an Other Facility Buyer, and solely for purposes of acknowledging and agreeing to Section 11.01(b) of the Repurchase Agreement, as amended hereby: WELLS FARGO BANK, N.A., LONDON BRANCH, a national banking association

By:		/s/ Thomas Jackivicz
		Name: Thomas Jackivicz
		Title: Managing Director

[Signature Page to Amendment No. 10 to Amended and Restated Master Repurchase and Securities Contract]


With respect to the acknowledgments set forth in Section 4 herein: GUARANTOR: BLACKSTONE MORTGAGE TRUST, INC., a Maryland corporation

By:		/s/ Douglas N. Armer
		Name: Douglas N. Armer
		Title: Executive Vice President, Capital
		Markets, and Treasurer

[Signature Page to Amendment No. 10 to Amended and Restated Master Repurchase and Securities Contract]

Exhibit 10.2

EXECUTION VERSION

AMENDMENT NO. 11 TO AMENDED AND RESTATED MASTER REPURCHASE

AND SECURITIES CONTRACT

AMENDMENT NO. 11 TO AMENDED AND RESTATED MASTER REPURCHASE AND SECURITIES CONTRACT, dated as of December 23, 2019 (this “Amendment”), between PARLEX 5 FINCO, LLC, a Delaware limited liability company (“Seller”) and WELLS FARGO BANK, NATIONAL ASSOCIATION, a national banking association (“Buyer”). Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Repurchase Agreement (as defined below).

RECITALS

WHEREAS, Seller and Buyer are parties to that certain Amended and Restated Master Repurchase and Securities Contract, dated as of April 4, 2014 (as amended by that certain Amendment No. 1 to Amended and Restated Master Repurchase and Securities Contract, dated as of October 23, 2014, as further amended by that certain Amendment No. 2 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2015, as further amended by that certain Amendment No. 3 to Amended and Restated Master Repurchase and Securities Contract, dated as of April 14, 2015, as further amended by that certain Amendment No. 4 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 11, 2016, as further amended by that certain Amendment No. 5 to Amended and Restated Master Repurchase and Securities Contract, dated as of June 30, 2016, as further amended by that certain Amendment No. 6 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2017, as further amended by that certain Amendment No. 7 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 31, 2017, as further amended by that certain Amendment No. 8 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2018, as further amended by that certain Amendment No. 9 to Amended and Restated Master Repurchase and Securities Contract, dated as of December 21, 2018, as further amended by that certain Amendment No. 10 to Amended and Restated Master Repurchase and Securities Contract, dated as of November 13, 2019, as amended hereby and as further amended, restated, supplemented or otherwise modified and in effect from time to time, the “Repurchase Agreement”);

Therefore, in consideration of the premises and for other good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, Seller and Buyer hereby agree as follows:

SECTION 1. Amendment to Repurchase Agreement. The defined term, “Gloss Loan Agreement”, as set forth in Article 2 of the Repurchase Agreement, is hereby amended and restated in its entirety to read as follows:

“Gloss Loan Agreement”: That certain Master Loan and Security Agreement, dated as of December 23, 2019 (as amended, restated, supplemented or otherwise modified and in effect from time to time), by and between Gloss Finco 2, LLC, as borrower, and Wells Fargo Bank International Unlimited Company, as Gloss Lender.

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SECTION 9. GOVERNING LAW. THIS AMENDMENT AND ANY CLAIM, CONTROVERSY OR DISPUTE ARISING UNDER OR RELATED TO THIS AMENDMENT, THE RELATIONSHIP OF THE PARTIES TO THIS AMENDMENT, AND/OR THE INTERPRETATION AND ENFORCEMENT OF THE RIGHTS AND DUTIES OF THE PARTIES TO THIS AMENDMENT SHALL BE GOVERNED BY AND CONSTRUED IN ACCORDANCE WITH THE INTERNAL LAWS AND DECISIONS OF THE STATE OF NEW YORK, WITHOUT REGARD TO THE CHOICE OF LAW RULES THEREOF. THE PARTIES HERETO INTEND THAT THE PROVISIONS OF SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW SHALL APPLY TO THIS AMENDMENT.

[SIGNATURES FOLLOW]

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IN WITNESS WHEREOF, the parties hereto have caused this Amendment to be duly executed and delivered as of the day and year first above written.


SELLER: PARLEX 5 FINCO, LLC, a Delaware limited liability company

By:		/s/ Douglas N. Armer
		Name: Douglas N. Armer
		Title: Executive Vice President, Capital
		Markets, and Treasurer

[Signature Page to Amendment No. 11 to Amended and Restated MRA]


BUYER: WELLS FARGO BANK, N.A., a national banking association

By:		/s/ Allen Lewis
		Name: Allen Lewis
		Title: Managing Director



KENSINGTON BUYER:

In its capacity as an Other Facility Buyer, and solely for purposes of acknowledging and agreeing to Section 11.01(b) of the Repurchase Agreement:



WELLS FARGO BANK, NATIONAL ASSOCIATION, a national banking association

By:		/s/ Allen Lewis
		Name: Allen Lewis
		Title: Managing Director

[Signature Page to Amendment No. 11 to Amended and Restated MRA]


GLOSS LENDER: In its capacity as an Other Facility Buyer, and solely for purposes of acknowledging and agreeing to Section 11.01(b) of the Repurchase Agreement: WELLS FARGO BANK INTERNATIONAL UNLIMITED COMPANY

By:		/s/ Sarah Stafford
		Name: Sarah Stafford
		Title: Director

[Signature Page to Amendment No. 11 to Amended and Restated MRA]


With respect to the acknowledgments set forth in Section 4 herein: GUARANTOR: BLACKSTONE MORTGAGE TRUST, INC., a Maryland corporation

By:		/s/ Douglas Armer
		Name: Douglas Armer
		Title: Executive Vice President, Capital
		Markets and Treasurer

[Signature Page to Amendment No. 11 to Amended and Restated MRA]

Exhibit 10.3

Execution Version

AMENDMENT NO. 8 TO MASTER REPURCHASE AGREEMENT

AMENDMENT NO. 8 TO MASTER REPURCHASE AGREEMENT, dated as of February 19, 2020 (this “Amendment”), among PARLEX 1 FINANCE, LLC (“Seller”) and BANK OF AMERICA, N.A., a national banking association (“Buyer”). Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Repurchase Agreement (as defined below).

RECITALS

WHEREAS, Seller and Buyer are parties to that certain Master Repurchase Agreement, dated as of May 21, 2013, as amended by that certain Amendment No. 1 to Master Repurchase Agreement, dated as of September 23, 2013, as further amended by that certain Joinder Agreement, also dated as of September 23, 2013, as further amended by that certain Amendment No. 2 to Master Repurchase Agreement, dated as of June 30, 2014, as further amended by that certain Amendment No. 3 to Master Repurchase Agreement, dated as of March 27, 2015, as further amended by that certain Joinder Termination Agreement dated as of March 25, 2016, as further amended by that certain Amendment No. 4 to Master Repurchase Agreement, also dated as of March 25, 2016, as further amended by that certain Amendment No. 5 to Master Repurchase Agreement, dated as of December 21, 2017, as further amended by that certain Amendment No. 6 to Master Repurchase Agreement, dated as of March 30, 2018, and as further amended by that certain Amendment No. 7 to Master Repurchase Agreement, dated as of December 19, 2019 (as amended hereby and as may be further amended, restated, supplemented, or otherwise modified and in effect from time to time, the “Repurchase Agreement”); and

WHEREAS, Seller and Buyer have agreed to amend certain provisions of the Repurchase Agreement in the manner set forth herein, and Blackstone Mortgage Trust Inc. (“Guarantor”) has agreed to make the acknowledgements set forth herein.

Therefore, in consideration of the premises and for other good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, Seller and Buyer each hereby agree as follows:

SECTION 1. Amendments to Repurchase Agreement.

(a) Section 2 of the Repurchase Agreement is hereby amended by inserting the following new defined terms in correct alphabetical order:

“Additional CLO Participated Loan” shall mean a Purchased Loan which is a certificated senior pari passu controlling participation interest in a Mortgage Loan or Mezzanine Loan and/or certificated senior pari passu participation interest in a Mortgage Loan or Mezzanine Loan responsible for all future funding obligations under such Mortgage Loan or Mezzanine Loan, in each case to the extent that, as of the Purchase Date for such Purchased Loan, a corresponding non-controlling senior pari passu participation interest is an asset of a securitization transaction.

(b) The terms, “CLO Participated Purchased Loans”, “CLO Servicer Notice”, “CLO Servicing Agreement” and “Participation Agreement”, each as set forth in Section 2 of the Repurchase Agreement, are each hereby amended and restated in their entirety to read as follows:

“CLO Participated Purchased Loans” shall mean (i) each of the Woolworth Building Mortgage Loan Participation, the Woolworth Building Mezzanine Loan Participation, the Atlanta Plaza Mortgage Participation, the Metropolitan Portfolio III Mortgage Participation and the Brea Campus Mortgage Participation, each as identified in the related Confirmations therefor, dated as of December 21, 2017, (ii) each of Participation A-1 and Participation A-3 in LBA Distribution Portfolio and Participation A-1 and Participation A-3 in Wynwood 25, each as identified in the related Confirmation therefor, dated as of February 19, 2020, and (iii) each Additional CLO Participated Purchased Loan, each as identified in the related Confirmation therefor.

“CLO Servicer Notice” shall mean (i) with respect to each CLO Participated Purchased Loan identified in clause (i) of the definition thereof, that certain Servicer Notice and Irrevocable Instruction Letter, dated as of December 21, 2017, by and among Buyer, Seller, Midland Loan Services, Inc., a Division of PNC National Association, as servicer, and CT Investment Management Co., LLC, as special servicer, (ii) with respect to each CLO Participated Purchased Loan identified in clause (ii) of the definition thereof, that certain Servicer Notice and Irrevocable Instruction Letter, dated as of February 19, 2020, by and among Buyer, Seller, Midland Loan Services, Inc., a Division of PNC National Association, as servicer, and CT Investment Management Co., LLC, as special servicer, and (iii) with respect to each Additional CLO Participated Purchased Loan, the servicer notice and irrevocable instruction letter entered into in connection with the corresponding Transaction on the Purchase Date therefor, each as the same may be amended, supplemented or otherwise modified from time to time.

“CLO Servicing Agreement” shall mean (i) with respect to each CLO Participated Purchased Loan identified in clause (i) of the definition thereof, that certain Servicing Agreement, dated as of December 21, 2017, by and among BXMT 2017-FL1, Ltd., as issuer, Wells Fargo Bank, National Association, as trustee and as note administrator, 42-16 CLO L Sell, LLC, as advancing agent, Midland Loan Services, Inc., a Division of PNC National Association, as servicer, CT Investment Management Co., LLC, as special servicer, and Park Bridge Lender Services LLC, as operating advisor, (ii) with respect to each CLO Participated Purchased Loan identified in clause (ii) of the definition thereof, that certain Servicing Agreement, dated as of February 19, 2020, by and among BXMT 2020-FL2, Ltd., as issuer, Wells Fargo Bank, National Association, as note administrator, Wilmington Trust, National Association, as trustee, 42-16 CLO L Sell, LLC, as advancing agent, Midland Loan Services, Inc., a Division of PNC National Association, as servicer, and CT Investment Management Co., LLC, as special servicer, and (iii) with respect to each Additional CLO Participated Purchased Loan, the servicing agreement entered into in connection with the corresponding securitization transaction, each as the same may be amended, supplemented or otherwise modified from time to time.

“Participation Agreement” shall mean (i) with respect to each CLO Participated Purchased Loan identified in clause (i) of the definition thereof, each Participation Agreement and Future Funding Indemnification Agreement, dated as of December 21, 2017, by and among 42-16 CLO L Sell, LLC, as Lender and as the Initial Participation A-2 Holder, Seller, as the Initial Participation A-1 Holder, Guarantor, as the Future Funding Indemnitor, and Wells Fargo Bank, National Association, as the Participation Custodial Agent, entered into in respect of each such CLO Participated Purchased Loan, (ii) with respect to each CLO Participated Purchased Loan identified in clause (ii) of the definition thereof, each Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and as the Initial Participation A-2 Holder, Seller, as the Initial Participation A-1 Holder and the Initial Participation A-3 Holder, and Guarantor, as the Future Funding Indemnitor, entered into in respect of each such CLO Participated Purchased Loan, and (iii) with respect to each Additional CLO Participated Purchased Loan, the participation agreement pursuant to which such Additional CLO Participated Purchased Loan was issued, as each may be amended, supplemented or otherwise modified and in effect from time to time.

(c) The definition of “Significant Modification”, as set forth in Section 2 of the Repurchase Agreement, is hereby amended by amending and restating the last sentence thereof in its entirety to read as follows:

“For the avoidance of doubt, with respect to any CLO Participated Purchased Loan, the term “Significant Modification” shall include, without limitation, (a) any increase to the principal balance of any Senior Interest or Loan Participation or the related Mortgage Loan or Mezzanine Loan, applicable, other than as a result of any future funding by Seller as required under the Purchased Loan Documents without giving effect to amendments or modifications without the consent of Buyer (other than amendments required in connection with such required future fundings by Seller as permitted pursuant to the Agreement) and (b) any increase to the amount of future funding obligations required to be advanced by the lender to the applicable Underlying Obligor under any Purchased Loan Document, but in each case shall be deemed to exclude any modification or amendment (including, without limitation (but subject to any other applicable provisions of this Agreement), a reduction in the aggregate outstanding principal balance of any CLO Participation Participated Purchased Loan, and a corresponding increase in the aggregate outstanding principal balance of any other senior pari passu participation interest in the related underlying Mortgage Loan or Mezzanine Loan, as applicable, via ledger entry) in connection with any reallocation of all or any portion of the principal balance of any CLO Participated Purchased Loan to any other senior pari passu participation interest in the underlying Mortgage Loan or Mezzanine Loan, as applicable, related to such CLO Participated Purchased Loan which other participation interest is included in a securitization transaction pursuant to Section 29(a), (b) and/or (c) of the Participation Agreement or such similar mechanic under any other related securitization documents.”

(d) Section 3(h)(iv) of the Repurchase Agreement is hereby further amended by inserting the following new sentence at the end thereof:

“Notwithstanding the foregoing, in connection with the repurchase on December 21, 2017, February 19, 2020 or on the Purchase Date for any Additional CLO Participated Loan of any Mortgage Loan, Mezzanine Loan or Senior Interest therein, as applicable, that is an underlying Mortgage Loan, Mezzanine Loan or Senior Interest therein, as applicable, in respect of a CLO Participated Purchased Loan, the Exit Fee otherwise payable hereunder shall be reduced by an amount equal to the product of (a) 0.50% and (b) the Maximum Purchase Price of the applicable CLO Participated Purchased Loan in effect as of the Purchase Date therefor.”

SECTION 2. Effectiveness. This Amendment shall become effective on the date first set forth above (the “Amendment Effective Date”), which is the date on which this Amendment is executed and delivered by a duly authorized officer of each of Seller and Buyer and acknowledged and agreed by Guarantor, along with delivery to Buyer of such other documents as Buyer reasonably requested prior to the Amendment Effective Date.

SECTION 3. Compliance with Transaction Documents. On and as of the date first above written, Seller hereby represents and warrants to Buyer that (a) it is in compliance with all the terms and provisions set forth in the Repurchase Agreement on its part to be observed or performed, (b) after giving effect to this Amendment, no Default or Event of Default under the Repurchase Agreement has occurred and is continuing, and (c) after giving effect to this Amendment, the representations and warranties contained in Section 10 of the Repurchase Agreement are true and correct in all material respects as though made on such date (except for any such representation or warranty that by its terms refers to a specific date other than the date first above written, in which case it shall be true and correct in all material respects as of such other date).

SECTION 4. Acknowledgements of Seller. Seller hereby acknowledges that, as of the date hereof, Buyer is in compliance with its undertakings and obligations under the Repurchase Agreement and the other Transaction Documents.

SECTION 5. Acknowledgments of Guarantor. Guarantor hereby acknowledges (a) the execution and delivery of this Amendment, and agrees that it continues to be bound by the Guaranty to the extent of the Obligations (as defined therein), notwithstanding the execution and delivery of this Amendment and the impact of the changes set forth herein, and (b) that Buyer is in compliance with its undertakings and obligations under the Repurchase Agreement, the Guaranty and each of the other Transaction Documents.

SECTION 6. Limited Effect. Except as expressly amended and modified by this Amendment, the Repurchase Agreement shall continue to be, and shall remain, in full force and effect in accordance with its terms; provided, however, that upon the Amendment Effective Date, all references in the Repurchase Agreement to the “Agreement” and the “Transaction Documents” shall be deemed to include, in any event, this Amendment. Each reference to the Repurchase Agreement in any of the Transaction Documents shall be deemed to be a reference to the Repurchase Agreement as amended by this Amendment.

SECTION 7. Counterparts. This Amendment may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument. Delivery of an executed counterpart of a signature page to this Amendment in Portable Document Format (PDF) or by facsimile transmission shall be effective as delivery of a manually executed original counterpart thereof.

SECTION 8. Expenses. Seller agrees to pay and reimburse Buyer for all actual out-of-pocket costs and expenses reasonably incurred by Buyer in connection with the preparation, execution and delivery of this Amendment in accordance with Section 20(b) of the Repurchase Agreement.

SECTION 9. WAIVER OF JURY TRIAL. EACH OF THE PARTIES HEREBY IRREVOCABLY WAIVES ALL RIGHT TO A TRIAL BY JURY IN ANY ACTION, PROCEEDING OR COUNTERCLAIM ARISING OUT OF OR RELATING TO THIS AMENDMENT.

SECTION 10. GOVERNING LAW. THIS AMENDMENT SHALL BE GOVERNED BY AND CONSTRUED IN ACCORDANCE WITH THE LAWS OF THE STATE OF NEW YORK PURSUANT TO SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW WITHOUT GIVING EFFECT TO THE CONFLICT OF LAW PRINCIPLES THEREOF.

[Remainder of page intentionally left blank; Signatures follow on next page.]

IN WITNESS WHEREOF, the parties hereto have caused this Amendment to be duly executed and delivered as of the day and year first above written.


BUYER:

BANK OF AMERICA, N.A.,
		a national banking association

By:		/s/ Steven Wasser
		Name: Steven Wasser
		Title: Managing Director

[Signature Page to Amendment No. 8 to Master Repurchase Agreement]

IN WITNESS WHEREOF, the parties hereto have caused this Amendment to be duly executed and delivered as of the day and year first above written.


SELLER: PARLEX 1 FINANCE, LLC, a Delaware limited liability company

By:		/s/ Douglas N. Armer
		Name: Douglas N. Armer
		Title: Executive Vice President, Capital Markets, and Treasurer

[Signature Page to Amendment No. 8 Master Repurchase Agreement]


Acknowledged and Agreed: BLACKSTONE MORTGAGE TRUST, INC., a Maryland corporation, in its capacity as Guarantor, and solely for purposes of acknowledging and agreeing to the terms of this Amendment:

By:		/s/ Douglas N. Armer
		Name: Douglas N. Armer
		Title: Executive Vice President, Capital Markets and Treasurer

[Signature Page to Amendment No. 8 Master Repurchase Agreement]

Exhibit 10.4

Execution Version

THIRD AMENDMENT TO FOURTH AMENDED AND RESTATED MASTER

REPURCHASE AGREEMENT

THIS THIRD AMENDMENT TO FOURTH AMENDED AND RESTATED MASTER REPURCHASE AGREEMENT (this “Amendment”), dated as of February 19, 2020 (the “Effective Date”), is made by and among PARLEX 2 FINANCE, LLC, a Delaware limited liability company (“Parlex 2”), PARLEX 2A FINCO, LLC, a Delaware limited liability company (“Parlex 2A”), PARLEX 2 UK FINCO, LLC, a Delaware limited liability company (“Parlex 2 UK”), PARLEX 2 EUR FINCO, LLC, a Delaware limited liability company (“Parlex 2 EUR”), PARLEX 2 AU FINCO, LLC, a Delaware limited liability company (“Parlex 2 AU”), PARLEX 2 CAD FINCO, LLC, a Delaware limited liability company (“Parlex 2 CAD”, and together with Parlex 2, Parlex 2A, Parlex 2 UK, Parlex 2 EUR, Parlex 2 AU and any other Person when such Person joins as a Seller hereunder from time to time, individually and/or collectively as the context may require, “Seller”), BLACKSTONE MORTGAGE TRUST, INC., a Maryland corporation (“Guarantor”) (for the purpose of acknowledging and agreeing to the provision set forth in Section 3 hereof), and CITIBANK, N.A., a national banking association (“Buyer”).

W I T N E S S E T H:

WHEREAS, Seller and Buyer have entered into that certain Fourth Amended and Restated Master Repurchase Agreement, dated as of February 15, 2019, as amended by that certain First Amendment to Fourth Amended and Restated Master Repurchase Agreement, dated as of June 7, 2019, by and among Seller, Guarantor and Buyer, and as further amended by that certain Second Amendment to Fourth Amended and Restated Master Repurchase Agreement, dated as of July 16, 2019, by and among Seller, Guarantor and Buyer (as the same may be further amended, supplemented, extended, restated, replaced or otherwise modified from time to time, the “Repurchase Agreement”);

WHEREAS, all capitalized terms used herein and not otherwise defined shall have the respective meanings set forth in the Repurchase Agreement;

WHEREAS, Seller and Buyer desire to modify certain terms and provisions of the Repurchase Agreement as set forth herein.

NOW, THEREFORE, in consideration of ten dollars ($10) and for other good and valuable consideration, the receipt and legal sufficiency of which are hereby acknowledged, Seller and Buyer covenant and agree as follows as of the Effective Date and Guarantor acknowledges and agrees as to the provision set forth in Section 3 as of the Effective Date:

1. Modification of Repurchase Agreement. The Repurchase Agreement is hereby modified as of the Effective Date as follows:

(a) The definition of “Concentration Limit” is hereby deleted in its entirety and replaced as follows:

““Concentration Limit” shall mean, unless otherwise agreed to in writing by Buyer (including, without limitation, in a Confirmation), the test that shall be satisfied at any applicable date of determination, if the aggregate outstanding Purchase Price with respect to all Purchased Loans which are Participation Interests shall not exceed 33% of the Facility Amount (i) which outstanding Purchase Price for Foreign Purchased Loans shall for purposes of such calculations be converted to U.S. Dollars based on the Purchase Date Spot Rate (U.S. Dollars) for such Foreign Purchased Loan, and (ii) excluding for purposes of such calculation each CLO Participation A-1 or Additional CLO Participation issued pursuant to a CLO Participation Agreement for which no Concentration Limit shall be applicable.

(b) The definition of “CLO” is hereby deleted in its entirety and replaced as follows:

““CLO” shall mean any collateral loan obligation bond transaction issued pursuant to a CLO Indenture.

““CLO Indenture” shall mean (i) with respect to each CLO Participation A-1 known as “SunTrust Center”, “Douglas Entrance” and “Ambassador Waikiki II” (each of which was (A) previously subject to a Transaction hereunder (the Purchase Date for which was December 21, 2017), (B) repurchased by Seller on February 19, 2020 in order for a portion thereof to collateralize the CLO issued by BXMT 2020-FL2, Ltd. and BXMT 2020-FL2, LLC on February 19, 2020, and (C) the remaining portion of which was purchased by Buyer from Seller in a new Transaction hereunder on February 19, 2020), (x) that certain Indenture, dated as of December 21, 2017 by and among BXMT 2017-FL1, Ltd., as Issuer, BXMT 2017-FL1, LLC, as Co-Issuer, 42-16 CLO L SELL, LLC, as Advancing Agent and Wells Fargo Bank, National Association as Trustee and as Note Administrator (in relation to each CLO Participation A-2 related thereto) and (y) that certain Indenture, dated as of February 19, 2020 by and among BXMT 2020-FL2, Ltd., as Issuer, BXMT 2020-FL2, LLC, as Co-Issuer, 42-16 CLO L SELL, LLC, as Advancing Agent and Wilmington Trust, National Association, as Trustee, and Wells Fargo Bank, National Association, as Note Administrator (in relation to each “Participation A-3” issued in the corresponding Whole Loan on February 19, 2020); (ii) with respect to each CLO Participation A-1 and/or Additional CLO Participation the Purchase Date for which is February 19, 2020 (other than those described in the foregoing clause (i)), that certain Indenture, dated as of February 19, 2020 by and among BXMT 2020-FL2, Ltd., as Issuer, BXMT 2020-FL2, LLC, as Co-Issuer, 42-16 CLO L SELL, LLC, as Advancing Agent and Wilmington Trust, National Association, as Trustee, and Wells Fargo Bank, National Association, as Note

Administrator; and (iii) with respect to each other Additional CLO Participation, the indenture entered into for the corresponding Additional CLO Non-Controlling Participations in connection with the corresponding CLO, each as the same may be amended, modified and/or restated from time to time.”

(d) The definition of “CLO Servicing Agreement” is hereby deleted in its entirety and replaced as follows:

““CLO Servicing Agreement” shall have the meaning assigned to the term “Servicing Agreement” in the applicable CLO Participation Agreements, as the same may be amended, modified and/or restated from time to time.”

(e) The definition of “CLO Participation A-1” is hereby deleted in its entirety and replaced as follows:

““CLO Participation A-1” shall have the meaning assigned to the term “Participation A-1” in each applicable CLO Participation Agreement.” For the avoidance of doubt, (x) each “Participation A-1” issued on December 21, 2017 and for which the Purchase Date is December 21, 2017 in respect of the Whole Loans known as “SunTrust Center”, “Douglas Entrance” and “Ambassador Waikiki II”, (y) each “Amended Participation A-1” issued on February 19, 2020 and for which the Purchase Date is February 19, 2020 in respect of the Whole Loans known as “SunTrust Center”, “Douglas Entrance” and “Ambassador Waikiki II” and (z) each “Participation A-1” issued on February 19, 2020 and for which the Purchase Date is February 19, 2020 in respect of the Whole Loans known as “Bank of America Plaza”, “Northbridge Centre”, “Flager”, “Carneros Resort and Spa”, “360 Spear Street” and “LBA Distribution Portfolio II” shall constitute “CLO Participation A-1s” for all purposes of the Transaction Documents.

““CLO Participation A-2” shall have the meaning assigned to the term “Participation A-2” in each applicable CLO Participation Agreement.”

(f) The definition of “CLO Participation Agreements” is hereby deleted in its entirety and replaced as follows:

““CLO Participation Agreements” shall mean, individually or collectively as the context requires and as applicable to each CLO Participation A-1, Additional CLO Participation and/or Additional Non-Controlling CLO Participation, that certain:

(i) Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder and Initial Participation A-3 Holder, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “Bank of America Plaza”,

(ii) Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder and Initial Participation A-3 Holder, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “Northbridge Centre”,

(iii) Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder and Initial Participation A-3 Holder, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “Flagler”,

(iv) Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder and Initial Participation A-3 Holder, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “Carneros Resort and Spa”,

(v) Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder and Initial Participation A-3 Holder, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “360 Spear Street”,

(vi) Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder and Initial Participation A-3 Holder, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “LBA Distribution Portfolio II”,

(vii) Participation Agreement and Future Funding Indemnification Agreement, dated as of December 21, 2017, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder, Wells Fargo Bank, National Association, as Participation Custodial Agent, and Guarantor, as Future Funding Indemnitor, as amended by, inter alia, that certain Second Amendment to Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Participation A-3 Holder, BXMT 2017-FL1, Ltd., as Participation A-2 Holder, Seller, as Participation A-1 Holder, Wells Fargo Bank, National Association, as Participation Custodial Agent, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “SunTrust Center”,

(viii) Participation Agreement and Future Funding Indemnification Agreement, dated as of December 21, 2017, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder, Wells Fargo Bank, National Association, as Participation Custodial Agent, and Guarantor, as Future Funding Indemnitor, as amended by, inter alia, that certain Second Amendment to Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Participation A-3 Holder, BXMT 2017-FL1, Ltd., as Participation A-2 Holder, Seller, as Participation A-1 Holder, Wells Fargo Bank, National Association, as Participation Custodial Agent, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “Douglas Entrance”,

(ix) Participation Agreement and Future Funding Indemnification Agreement, dated as of December 21, 2017, by and among 42-16 CLO L Sell, LLC, as Lender and Initial Participation A-2 Holder, Seller, as Initial Participation A-1 Holder, Wells Fargo Bank, National Association, as Participation Custodial Agent, and Guarantor, as Future Funding Indemnitor, as amended by, inter alia, that certain Fifth Amendment to Participation Agreement and Future Funding Indemnification Agreement, dated as of February 19, 2020, by and among 42-16 CLO L Sell, LLC, as Lender and Participation A-3 Holder, BXMT 2017-FL1, Ltd., as Participation A-2 Holder, Seller, as Participation A-1 Holder, Wells Fargo Bank, National Association, as Participation Custodial Agent, and Guarantor, as Future Funding Indemnitor, with respect to the Purchased Loan known as “Ambassador Waikiki II”, and

(x) the participation agreement entered into in connection with the corresponding CLO with respect to each Additional CLO Participation, as each may be amended, modified and/or restated from time to time.”

(g) The definition of “Servicing Agreement” is hereby deleted in its entirety and replaced as follows:

““Servicing Agreement” shall mean, individually or collectively, as the context may require (a) other than with respect to each CLO Participation A-1 or Additional CLO Participation issued pursuant to a CLO Participation Agreement, (i) that certain Servicing Agreement, dated as of June 12, 2013, among Parlex 2, Buyer and Servicer, as the same may be amended, modified and/or restated from time to time, (ii) that certain Servicing Agreement, dated as of January 31, 2014, among Parlex 2A, Buyer, and Servicer, as the same may be amended, modified and/or restated from time to time, (iii) that certain Servicing Agreement, dated as of the Second Amendment and Restatement Date, among Parlex 2 UK, Buyer, and Servicer, as the same may be amended, modified and/or restated from time to time, (iv) that certain Servicing Agreement, dated as of the Second Amendment and Restatement Date, among Parlex 2 EUR, Buyer, and Servicer, as the same may be amended, modified and/or restated from time to time, (v) that certain Servicing

Agreement, dated as of the Third Amendment and Restatement Date, among Parlex 2 AU, Buyer, and Servicer, as the same may be amended, modified and/or restated from time to time, (vi) that certain Servicing Agreement, dated as of the Fourth Amendment and Restatement Date, among Parlex 2 CAD, Buyer, and Servicer, as the same may be amended, modified and/or restated from time to time, and (vii) any other servicing agreement entered into by a Seller, Buyer and any Servicer approved by Buyer for the servicing of Purchased Loans, as the same may be amended, modified and/or restated from time to time, and (b) with respect to each CLO Participation A-1 or Additional CLO Participation, as applicable, issued pursuant to a CLO Participation Agreement, (x) for so long as the corresponding CLO Participation A-2 and/or Additional CLO Non-Controlling Participation, as applicable, is an asset of the applicable CLO, the corresponding CLO Servicing Agreement and (y) at any time such corresponding CLO Participation A-2 and/or Additional CLO Non-Controlling Participation, as applicable, is not an asset of such CLO, the servicing agreement entered into in accordance with the applicable CLO Participation Agreement.”

(h) The definition of “Significant Purchased Loan Modification” is hereby modified by amending and restating the proviso at the end of such definition as follows:

“provided, however, that this definition of “Significant Purchased Loan Modification” shall not include any modification or amendment to any Purchased Loan Document (including, without limitation, a reduction in the aggregate outstanding principal balance of the applicable CLO Participation A-1 and/or Additional CLO Participation, and a corresponding increase in the aggregate outstanding principal balance of the corresponding CLO Participation A-2 and/or Additional CLO Non-Controlling Participation via ledger entry) solely in connection with the reallocation of a portion of the principal balance of a CLO Participation A-1 and/or Additional CLO Participation to the corresponding CLO Participation A-2 and/or Additional CLO Non-Controlling Participation pursuant to Section 29(a), (b) and/or (c) or comparable provision of the applicable CLO Participation Agreement in order to implement a replenishment pursuant to Section 12.2 or comparable provision of the corresponding CLO Indenture, so long as such reallocation is implemented in connection with (x) an early repurchase consummated in accordance with Section 3(d) of this Agreement or (y) a pro rata reduction in the outstanding Purchase Price of the relevant Purchased Loan.”

(i) The following defined terms are hereby added to Section 2 of the Repurchase Agreement in their appropriate alphabetical location as follows:

““Additional CLO Participation” shall mean a Purchased Loan which is a certificated controlling participation interest in a Whole Loan and/or certificated participation interest in a Whole Loan responsible for all future funding obligations under such Whole Loan, in each case to the extent that, as of the Purchase Date for such Purchased Loan, a corresponding Additional CLO Non-Controlling Participation is an asset of the

corresponding CLO. For the avoidance of doubt, each “Participation A-3” issued on February 19, 2020 in respect of the Whole Loans known as “Bank of America Plaza”, “Northbridge Centre”, “Carneros Resort and Spa”, “360 Spear Street” and “LBA Distribution Portfolio II” shall constitute “Additional CLO Participations” for all purposes of the Transaction Documents.”

““Additional CLO Non-Controlling Participation” shall mean a certificated non-controlling participation in a Whole Loan in which an Additional CLO Participation has been issued pursuant to a CLO Participation Agreement. For the avoidance of doubt, each “Participation A-3” issued on February 19, 2020 in respect of the Whole Loans known as “SunTrust Center”, “Douglas Entrance” and “Ambassador Waikiki II” shall constitute “Additional CLO Non-Controlling Participations” for all purposes of the Transaction Documents.”

(j) Early Repurchase: Section 3(d) of the Repurchase Agreement is hereby deleted in its entirety and replaced with the following:

“(d) No Transaction shall be terminable on demand by Buyer (other than upon the occurrence and during the continuance of an Event of Default). Seller shall be entitled to terminate a Transaction on demand, in whole or in part (but in the case of a termination in part, solely in connection with the reallocation of a portion of the principal balance of CLO Participation A-1 and/or Additional CLO Participation to the corresponding CLO Participation A-2 and/or Additional CLO Non-Controlling Participation pursuant to Section 29(a), (b) and/or (c) (or equivalent section) of the applicable CLO Participation Agreement in order to implement a replenishment pursuant to Section 12.2 (or equivalent section) of the applicable CLO Indenture), and repurchase the Purchased Loan subject to a Transaction on any Business Day prior to the Repurchase Date (an “Early Repurchase Date”); provided, however, that:

(i)

Seller notifies Buyer in writing of its intent to terminate such Transaction and repurchase such Purchased Loan no later than three (3) Business Days prior to such Early Repurchase Date,

(ii)

on such Early Repurchase Date Seller pays to Buyer an amount equal to the sum of (x) the Repurchase Price for such Transaction, (y) the Exit Fee, if any, then due and payable with respect to such Transaction pursuant to the Fee Agreement (provided, however, that no Exit Fee shall be due and payable in connection with a termination of a Transaction by Seller either (x) in part or (y) in whole in connection with a severing of CLO Participation A-1 and/or Additional CLO Participation into multiple participations representing the funded portion of CLO Participation A-1 and/or Additional CLO Participation following which a severed portion is reallocated to the corresponding CLO Participation A-2 and/or Additional

CLO Non-Controlling Participation and the other severed portion is the subject of a new Transaction under this Agreement) and (z) any other amounts payable under this Agreement (including, without limitation, Section 3(i) of this Agreement) with respect to such Transaction, in connection with the transfer to Seller or its agent of such Purchased Loan; provided, however, that no amounts shall be due and payable pursuant to Section 3(i)(ii) of this Agreement in connection with a termination of a Transaction by Seller in part or in whole in the circumstance described in the parenthetical to clause (ii)(y) above,

(iii)

on such Early Repurchase Date, following the payment of the amounts set forth in subclause (ii) above, no unpaid Margin Deficit exists, and

(iv)

no Default or Event of Default shall have occurred and be continuing as of such Early Repurchase Date.

Such notice shall set forth the Early Repurchase Date and shall identify with particularity the Purchased Loans to be repurchased on such Early Repurchase Date.”

(k) Servicing: Section 29(f) of the Repurchase Agreement is hereby deleted in its entirety and replaced with the following:

“With respect to each CLO Participation A-1 and Additional CLO Participation issued pursuant to a CLO Participation Agreement, in the event of any inconsistency between the provisions of this Section 29 and of each applicable CLO Participation Agreement and the applicable CLO Servicing Agreement, the terms of such CLO Participation Agreement and such CLO Servicing Agreement shall control with respect to such CLO Participation A-1 and Additional CLO Participation, as applicable, only.”

2. Seller’s Representations. Seller has taken all necessary action to authorize the execution, delivery and performance of this Amendment. This Amendment has been duly executed and delivered by or on behalf of Seller and constitutes the legal, valid and binding obligation of Seller enforceable against Seller in accordance with its terms subject to bankruptcy, insolvency, and other limitations on creditors’ rights generally and to equitable principles. No Event of Default has occurred and is continuing, and no Event of Default will occur as a result of the execution, delivery and performance by Seller of this Amendment. Any consent, approval, authorization, order, registration or qualification of or with any Governmental Authority required for the execution, delivery and performance by Seller of this Amendment has been obtained and is in full force and effect (other than consents, approvals, authorizations, orders, registrations or qualifications that if not obtained, are not reasonably likely to have a Material Adverse Effect).

3. Reaffirmation of Guaranty. Guarantor has executed this Amendment for the purpose of acknowledging and agreeing that, notwithstanding the execution and delivery of this Amendment and the amendment of the Repurchase Agreement hereunder, all of Guarantor’s obligations under the Guaranty remain in full force and effect and the same are hereby irrevocably and unconditionally ratified and confirmed by Guarantor in all respects.

4. Full Force and Effect. Except as expressly modified hereby, all of the terms, covenants and conditions of the Repurchase Agreement and the other Transaction Documents remain unmodified and in full force and effect and are hereby ratified and confirmed by Seller. Any inconsistency between this Amendment and the Repurchase Agreement (as it existed before this Amendment) shall be resolved in favor of this Amendment, whether or not this Amendment specifically modifies the particular provision(s) in the Repurchase Agreement inconsistent with this Amendment. All references to the “Agreement” in the Repurchase Agreement or to the “Repurchase Agreement” in any of the other Transaction Documents shall mean and refer to the Repurchase Agreement as modified and amended hereby.

5. No Waiver. The execution, delivery and effectiveness of this Amendment shall not operate as a waiver of any right, power or remedy of the Buyer under the Repurchase Agreement, any of the other Transaction Documents or any other document, instrument or agreement executed and/or delivered in connection therewith.

6. Headings. Each of the captions contained in this Amendment are for the convenience of reference only and shall not define or limit the provisions hereof.

7. Counterparts. This Amendment may be executed in any number of counterparts, and all such counterparts shall together constitute the same agreement. Signatures delivered by email (in PDF format) shall be considered binding with the same force and effect as original signatures

8. Governing Law. This Amendment shall be governed in accordance with the terms and provisions of Section 20 of the Repurchase Agreement.

[No Further Text on this Page; Signature Pages Follow]

IN WITNESS WHEREOF, the parties hereto have caused this Amendment to be executed by their duly authorized representatives as of the day and year first above written and effective as of the Effective Date.


BUYER: CITIBANK, N.A.

By:		/s/ Richard B. Schlenger
Name:		Richard B. Schlenger
Title:		Authorized Signatory

[SIGNATURES CONTINUE ON NEXT PAGE]

[Signature Page to Third Amendment to Fourth Amended and Restated Master Repurchase Agreement]


SELLER: PARLEX 2 FINANCE, LLC, a Delaware limited liability company
By:		/s/ Douglas N. Armer
Name:		Douglas N. Armer
Title:		Executive Vice President, Capital
		Markets, and Treasurer


PARLEX 2A FINCO, LLC, a Delaware limited liability company
By:		/s/ Douglas N. Armer
Name:		Douglas N. Armer
Title:		Executive Vice President, Capital
		Markets, and Treasurer


PARLEX 2 UK FINCO, LLC, a Delaware limited liability company
By:		/s/ Douglas N. Armer
Name:		Douglas N. Armer
Title:		Executive Vice President, Capital
		Markets, and Treasurer


PARLEX 2 EUR FINCO, LLC, a Delaware limited liability company
By:		/s/ Douglas N. Armer
Name:		Douglas N. Armer
Title:		Executive Vice President, Capital
		Markets, and Treasurer

[Signature Page to Third Amendment to Fourth Amended and Restated Master Repurchase Agreement]


PARLEX 2 CAD FINCO, LLC, a Delaware limited liability company

By:		/s/ Douglas N. Armer
Name:		Douglas N. Armer
Title:		Executive Vice President, Capital
		Markets, and Treasurer


PARLEX 2 AU FINCO, LLC, a Delaware limited liability company
By:		/s/ Douglas N. Armer
Name:		Douglas N. Armer
Title:		Executive Vice President, Capital
		Markets, and Treasurer

[SIGNATURES CONTINUE ON NEXT PAGE]

[Signature Page to Third Amendment to Fourth Amended and Restated Master Repurchase Agreement]


GUARANTOR: BLACKSTONE MORTGAGE TRUST, INC.,
By:		/s/ Douglas N. Armer
		Name: Douglas N. Armer
		Title: Executive Vice President, Capital
		Markets and Treasurer

[Signature Page to Third Amendment to Fourth Amended and Restated Master Repurchase Agreement]

Exhibit 10.5

EXECUTION VERSION

AMENDMENT NO. 12 TO AMENDED AND RESTATED MASTER REPURCHASE

AND SECURITIES CONTRACT

AMENDMENT NO. 12 TO AMENDED AND RESTATED MASTER REPURCHASE AND SECURITIES CONTRACT, dated as of March 13, 2020 (this “Amendment”), between PARLEX 5 FINCO, LLC, a Delaware limited liability company (“Seller”) and WELLS FARGO BANK, NATIONAL ASSOCIATION, a national banking association (“Buyer”). Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Repurchase Agreement (as defined below).

RECITALS

WHEREAS, Seller and Buyer are parties to that certain Amended and Restated Master Repurchase and Securities Contract, dated as of April 4, 2014 (as amended by that certain Amendment No. 1 to Amended and Restated Master Repurchase and Securities Contract, dated as of October 23, 2014, as further amended by that certain Amendment No. 2 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2015, as further amended by that certain Amendment No. 3 to Amended and Restated Master Repurchase and Securities Contract, dated as of April 14, 2015, as further amended by that certain Amendment No. 4 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 11, 2016, as further amended by that certain Amendment No. 5 to Amended and Restated Master Repurchase and Securities Contract, dated as of June 30, 2016, as further amended by that certain Amendment No. 6 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2017, as further amended by that certain Amendment No. 7 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 31, 2017, as further amended by that certain Amendment No. 8 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2018, as further amended by that certain Amendment No. 9 to Amended and Restated Master Repurchase and Securities Contract, dated as of December 21, 2018, as further amended by that certain Amendment No. 10 to Amended and Restated Master Repurchase and Securities Contract, dated as of November 13, 2019, as further amended by that certain Amendment No. 11 to Amended and Restated Master Repurchase and Securities Contract, dated as of December 23, 2019, as amended hereby and as further amended, restated, supplemented or otherwise modified and in effect from time to time, the “Repurchase Agreement”);

Therefore, in consideration of the premises and for other good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, Seller and Buyer hereby agree as follows:

SECTION 1. Amendment to Repurchase Agreement. The defined term “Funding Expiration Date”, as set forth in Article 2 of the Repurchase Agreement, is hereby amended and restated in its entirety to read as follows:

“Funding Expiration Date”: March 13, 2021; provided that, in the event that Seller requests an extension of the Funding Expiration Date, such request may be approved or denied by Buyer for any reason or for no reason, as determined in Buyer’s sole and absolute discretion, and it is expressly acknowledged and agreed that Buyer has no obligation to consider or grant any such request.

SECTION 2. Amendment Effective Date. This Amendment and its provisions shall become effective on the date first set forth above (the “Amendment Effective Date”), which is the date that this Amendment was executed and delivered by a duly authorized officer of each of Seller, Buyer and Guarantor, along with the delivery of bring down letters affirming the opinions as to corporate, enforceability and bankruptcy matters provided to Buyer on the Closing Date, each dated as of the Amendment Effective Date.

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[SIGNATURES FOLLOW]

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IN WITNESS WHEREOF, the parties hereto have caused this Amendment to be duly executed and delivered as of the day and year first above written.


SELLER: PARLEX 5 FINCO, LLC, a Delaware limited liability company

By:		/s/ Douglas N. Armer
		Name: Douglas N. Armer
		Title: Executive Vice President, Capital
		Markets, and Treasurer

[Amendment No. 12 to Amended and Restated Master Repurchase and Securities Contract]


BUYER: WELLS FARGO BANK, N.A., a national banking association

By:		/s/ Allen Lewis
		Name: Allen Lewis
		Title: Managing Director

[Amendment No. 12 to Amended and Restated Master Repurchase and Securities Contract]


With respect to the acknowledgments set forth in Section 4 herein: GUARANTOR: BLACKSTONE MORTGAGE TRUST, INC., a Maryland corporation

By:		/s/ Douglas N. Armer
		Name: Douglas N. Armer
		Title: Executive Vice President, Capital
		Markets, and Treasurer

[Amendment No. 12 to Amended and Restated Master Repurchase and Securities Contract]

Exhibit 31.1

CERTIFICATION

PURSUANT TO 17 CFR 240.13a-14

PROMULGATED UNDER

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Stephen D. Plavin, certify that:

I have reviewed this quarterly report on Form 10-Q of Blackstone Mortgage Trust, Inc.;

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Exhibit 31.2

CERTIFICATION

PURSUANT TO 17 CFR 240.13a-14

PROMULGATED UNDER

SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Anthony F. Marone, Jr., certify that:

I have reviewed this quarterly report on Form 10-Q of Blackstone Mortgage Trust, Inc.;

(a)

(b)

(c)

(d)

(a)

(b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Exhibit 32.1

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Blackstone Mortgage Trust, Inc. (the “Company”) on Form 10-Q for the period ended March 31, 2020 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Stephen D. Plavin, Chief Executive Officer of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

/s/ Stephen D. Plavin

Stephen D. Plavin

Chief Executive Officer

April 28, 2020

This certification accompanies each Report pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not, except to the extent required by the Sarbanes-Oxley Act of 2002, be deemed filed by the Company for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.

A signed original of this written statement required by Section 906 has been provided by the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.

Exhibit 32.2

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Blackstone Mortgage Trust, Inc. (the “Company”) on Form 10-Q for the period ended March 31, 2020 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Anthony F. Marone, Jr., Chief Financial Officer of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

/s/ Anthony F. Marone, Jr.

Anthony F. Marone, Jr.

Chief Financial Officer

April 28, 2020